  In this thesis we discuss machine learning methods performing automated
variable selection for learning sparse predictive models. There are multiple
reasons for promoting sparsity in the predictive models. By relying on a
limited set of input variables the models naturally counteract the overfitting
problem ubiquitous in learning from finite sets of training points. Sparse
models are cheaper to use for predictions, they usually require lower
computational resources and by relying on smaller sets of inputs can possibly
reduce costs for data collection and storage. Sparse models can also contribute
to better understanding of the investigated phenomenons as they are easier to
interpret than full models.
