Multi-kernel growing Support Vector Regressor

This paper presents a method to iteratively grow a compact Support Vector Regressor so that the balance between size of the machine and its performance can be user-controlled. The algorithm is able to combine Gaussian kernels with different spread parameter, skipping the 'a priori' parameter estimation by allowing a progressive incorporation of nodes with decreasing values of the spread parameter, until a cross-validation stopping criterion is met. Experimental results show the significant reduction achieved in the size of the machines trained with this new algorithm and their good generalization capabilities.