Online ensemble multi-kernel learning adaptive to non-stationary and adversarial environments

Yanning Shen, Tianyi Chen, Georgios B. Giannakis

Research output: Contribution to conferencePaper

8 Scopus citations

Abstract

Kernel-based methods exhibit well-documented performance in various nonlinear learning tasks. Most of them rely on a preselected kernel, whose prudent choice presumes task-specific prior information. To cope with this limitation, multi-kernel learning has gained popularity thanks to its flexibility in choosing kernels from a prescribed kernel dictionary. Leveraging the random feature approximation and its recent orthogonality-promoting variant, the present contribution develops an online multi-kernel learning scheme to infer the intended nonlinear function ‘on the fly.’ To further boost performance in non-stationary environments, an adaptive multi-kernel learning scheme (termed AdaRaker) is developed with affordable computation and memory complexity. Performance is analyzed in terms of both static and dynamic regret. To our best knowledge, AdaRaker is the first algorithm that can optimally track nonlinear functions in non-stationary settings with theoretical guarantees. Numerical tests on real datasets are carried out to showcase the effectiveness of the proposed algorithms.

Original languageEnglish (US)
Pages2037-2046
Number of pages10
StatePublished - Jan 1 2018
Event21st International Conference on Artificial Intelligence and Statistics, AISTATS 2018 - Playa Blanca, Lanzarote, Canary Islands, Spain
Duration: Apr 9 2018Apr 11 2018

Conference

Conference21st International Conference on Artificial Intelligence and Statistics, AISTATS 2018
CountrySpain
CityPlaya Blanca, Lanzarote, Canary Islands
Period4/9/184/11/18

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    Shen, Y., Chen, T., & Giannakis, G. B. (2018). Online ensemble multi-kernel learning adaptive to non-stationary and adversarial environments. 2037-2046. Paper presented at 21st International Conference on Artificial Intelligence and Statistics, AISTATS 2018, Playa Blanca, Lanzarote, Canary Islands, Spain.