The classical kernel ridge regression problem aims to find the best fit for the output $Y$ as a function of the input data $X\in \mathbb{R}^d$, with a fixed choice of regularization term imposed by a given choice of a reproducing kernel Hilbert space, such as a Sobolev space. Here we consider a generalization of the kernel ridge regression problem, by introducing an extra matrix parameter $U$, which aims to detect the scale parameters and the feature variables in the data, and thereby improve the efficiency of kernel ridge regression. This naturally leads to a nonlinear variational problem to optimize the choice of $U$. We study various foundational mathematical aspects of this variational problem, and in particular how this behaves in the presence of multiscale structures in the data.