multiple output regression and feature subset selection

I am trying to do a regression from a feature space (Nxp) (p>>N) to the same feature space (Nxp) but measured after a time period. So, it is a multiple output regression problem.

I would like to ask if anybody knows another function (rather than the mvregress) doing multiple output regression in Matlab (a non linear one) and a function or an algorithm for dimensionality reduction (feature subset selection preferably) for multiple output regression.

Could someone help me to this problem?

Answer 1

[ats]

Please refer to: http://www.esat.kuleuven.be/sista/lssvmlab/old/tutorial1_5.pdf