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Competitive Normalised Least Squares Regression.

Waqas, J. and Bouchachia, A., 2020. Competitive Normalised Least Squares Regression. IEEE Transactions on Neural Networks and Learning Systems. (In Press)

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DOI: 10.1109/TNNLS.2020.3009777

Abstract

Online learning has witnessed an increasing interest over the recent past due to its low computational requirements and its relevance to a broad range of streaming applications. In this paper, we focus on online regularised regression. We propose a novel efficient online regression algorithm, called Online Normalised Least Squares (ONLS). We perform theoretical analysis, by comparing the total loss of ONLS against the Normalised Gradient Descent algorithm (NGD) and the best offline LS predictor. We show in particular that ONLS allows for a better bias-variance tradeoff than those state-of-the-art gradient descent-based LS algorithms as well as a better control on the level of shrinkage of the features towards null. Finally, we conduct an empirical study to illustrate the great performance of ONLS against some state-of-the-art algorithms using real-world data.

Item Type:Article
ISSN:1045-9227
Additional Information:Authors are supported by the European Commission under the Horizon 2020 Grant 687691 for the project PROTEUS
Uncontrolled Keywords:Competitive analysis; least-squares; prediction
Group:Faculty of Science & Technology
ID Code:34331
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:27 Jul 2020 09:54
Last Modified:09 Sep 2020 16:44

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