Sparse Bayesian Learning (SBL) constructs an extremely sparse probabilistic model with very competitive generalization. However, SBL needs to invert a big covariance matrix with complexity O(M^3 ) (M: feature size) for updating the regularization priors, making it difficult for practical use. There are three issues in SBL: 1) Inverting the covariance matrix may obtain singular solutions in some cases, which hinders SBL from convergence; 2) Poor scalability to problems with high dimensional

more »

... re space or large data size; 3) SBL easily suffers from memory overflow for large-scale data. This paper addresses these issues with a newly proposed diagonal Quasi-Newton (DQN) method for SBL called DQN-SBL where the inversion of big covariance matrix is ignored so that the complexity and memory storage are reduced to O(M). The DQN-SBL is thoroughly evaluated on non-linear classifiers and linear feature selection using various benchmark datasets of different sizes. Experimental results verify that DQN-SBL receives competitive generalization with a very sparse model and scales well to large-scale problems.