Online Regression Competitive with Changing Predictors

  • Steven Busuttil
  • Yuri Kalnishkan
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4754)

Abstract

This paper deals with the problem of making predictions in the online mode of learning where the dependence of the outcome y t on the signal x t can change with time. The Aggregating Algorithm (AA) is a technique that optimally merges experts from a pool, so that the resulting strategy suffers a cumulative loss that is almost as good as that of the best expert in the pool. We apply the AA to the case where the experts are all the linear predictors that can change with time. KAARCh is the kernel version of the resulting algorithm. In the kernel case, the experts are all the decision rules in some reproducing kernel Hilbert space that can change over time. We show that KAARCh suffers a cumulative square loss that is almost as good as that of any expert that does not change very rapidly.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2007

Authors and Affiliations

  • Steven Busuttil
    • 1
  • Yuri Kalnishkan
    • 1
  1. 1.Computer Learning Research Centre and Department of Computer Science, Royal Holloway, University of London, Egham, Surrey, TW20 0EXUnited Kingdom

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