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arXiv cs/0511058cs.LG
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与再生核Hilbert空间竞争的在线回归

On-line regression competitive with reproducing kernel Hilbert spaces

Vladimir Vovk

摘要:

我们考虑的问题,在线预测的实值标签,假设有界的绝对值由一个已知的常数,新的对象从已知的标记对象。预测算法的性能通过预测与实际标签的平方偏差来衡量。标签和对象的生成方式没有随机假设。相反,我们给出了一个基准类的预测规则,其中一些希望产生良好的预测。我们证明了,对于广泛的无限维基准类,可以构造一个预测算法,其前N个示例的累积损失不超过该类中任何预测规则的累积损失加上O(sqrt(N));与已知结果的主要区别在于,我们没有对所考虑的预测规则的范数施加任何上界,并且我们在我们算法的过度损失。如果基准类是“通用的”(在每个紧集上的连续函数类中是稠密的),这提供了非参数统计中普遍一致预测的在线非随机模拟。我们使用两种证明技术:一种是基于聚合算法,另一种是基于最近开发的防御预测方法。

英文摘要:

We consider the problem of on-line prediction of real-valued labels, assumed bounded in absolute value by a known constant, of new objects from known labeled objects. The prediction algorithm's performance is measured by the squared deviation of the predictions from the actual labels. No stochastic assumptions are made about the way the labels and objects are generated. Instead, we are given a benchmark class of prediction rules some of which are hoped to produce good predictions. We show that for a wide range of infinite-dimensional benchmark classes one can construct a prediction algorithm whose cumulative loss over the first N examples does not exceed the cumulative loss of any prediction rule in the class plus O(sqrt(N)); the main differences from the known results are that we do not impose any upper bound on the norm of the considered prediction rules and that we achieve an optimal leading term in the excess loss of our algorithm. If the benchmark class is "universal" (dense in the class of continuous functions on each compact set), this provides an on-line non-stochastic analogue of universally consistent prediction in non-parametric statistics. We use two proof techniques: one is based on the Aggregating Algorithm and the other on the recently developed method of defensive forecasting.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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