Dynamic Structure Embedded Online Multiple-Output Regression for Streaming Data

• Published in: IEEE transactions on pattern analysis and machine intelligence Vol. 41; no. 2; pp. 323 - 336
• Main Authors: Li, Changsheng, Wei, Fan, Dong, Weishan, Wang, Xiangfeng, Liu, Qingshan, Zhang, Xin
• Format: Journal Article
• Language: English
• Published: United States IEEE 01.02.2019; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Algorithms; Correlation; Covariance matrix; Current measurement; Data compression; Data models; Data transmission; Datasets; Distance learning; dynamic relationship learning; Eigenvalues; forgetting factor; Linear programming; Load modeling; lossless compression; Machine learning; Online multiple-output regression; Prediction algorithms; Predictions; Regression analysis; Regression coefficients; Regression models; State of the art; Training
• ISSN: 0162-8828; 1939-3539; 2160-9292
• DOI: 10.1109/TPAMI.2018.2794446

Online multiple-output regression is an important machine learning technique for modeling, predicting, and compressing multi-dimensional correlated data streams. In this paper, we propose a novel online multiple-output regression method, called MORES, for streaming data. MORES can dynamically learn the structure of the regression coefficients to facilitate the model's continuous refinement. Considering that limited expressive ability of regression models often leading to residual errors being dependent, MORES intends to dynamically learn and leverage the structure of the residual errors to improve the prediction accuracy. Moreover, we introduce three modified covariance matrices to extract necessary information from all the seen data for training, and set different weights on samples so as to track the data streams' evolving characteristics. Furthermore, an efficient algorithm is designed to optimize the proposed objective function, and an efficient online eigenvalue decomposition algorithm is developed for the modified covariance matrix. Finally, we analyze the convergence of MORES in certain ideal condition. Experiments on two synthetic datasets and three real-world datasets validate the effectiveness and efficiency of MORES. In addition, MORES can process at least 2,000 instances per second (including training and testing) on the three real-world datasets, more than 12 times faster than the state-of-the-art online learning algorithm.