FULLY BAYESIAN LINEAR REGRESSION

A simple yet powerful Bayesian model of linear regression is disclosed for methods and systems of machine learning. Unlike previous treatments that have either considered finding hyperparameters through maximum likelihood or have used a simple prior that makes the computation tractable but can lead to overfitting in high dimensions, the disclosed methods use a combination of linear algebra and numerical integration to work a full posterior over hyperparameters in a model with a prior that naturally avoids overfitting. The resulting algorithm is efficient enough to be practically useful. The approach can be viewed as a fully Bayesian version of the discriminative regularized least squares algorithm.