Online Prediction of Time Series Data With Kernels

  • Richard C
  • Bermudez J
  • Honeine P
  • 6

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Abstract

Kernel-based algorithms have been a topic of considerable interest in the machine learning community over the last ten years. Their attractiveness resides in their elegant treatment of nonlinear problems. They have been successfully applied to pattern recognition, regression and density estimation. A common characteristic of kernel-based methods is that they deal with kernel expansions whose number of terms equals the number of input data, making them unsuitable for online applications. Recently, several solutions have been proposed to circumvent this computational burden in time series prediction problems. Nevertheless, most of them require excessively elaborate and costly operations. In this paper, we investigate a new model reduction criterion that makes computationally demanding sparsification procedures unnecessary. The increase in the number of variables is controlled by the coherence parameter, a fundamental quantity that characterizes the behavior of dictionaries in sparse approximation problems. We incorporate the coherence criterion into a new kernel-based affine projection algorithm for time series prediction. We also derive the kernel-based normalized LMS algorithm as a particular case. Finally, experiments are conducted to compare our approach to existing methods.

Author-supplied keywords

  • Adaptive filters
  • adaptive filters
  • density estimation
  • dictionaries
  • kernel-based affine projection algorithm
  • kernel-based algorithms
  • learning (artificial intelligence)
  • machine learning
  • mathematics computing
  • model reduction criterion
  • nonlinear problem
  • nonlinear systems
  • pattern recognition
  • prediction theory
  • regression analysis
  • sparse approximation problems
  • time series

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Authors

  • C Richard

  • J C M Bermudez

  • P Honeine

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