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Poster

Efficient Non-stationary Online Learning by Wavelets with Applications to Online Distribution Shift Adaptation

Yu-Yang Qian · Peng Zhao · Yu-Jie Zhang · Masashi Sugiyama · Zhi-Hua Zhou

Hall C 4-9 #1416
[ ] [ Paper PDF ]
[ Slides [ Poster
Thu 25 Jul 2:30 a.m. PDT — 4 a.m. PDT

Abstract:

Dynamic regret minimization offers a principled way for non-stationary online learning, where the algorithm's performance is evaluated against changing comparators. Prevailing methods often employ a two-layer online ensemble, consisting of a group of base learners with different configurations and a meta learner that combines their outputs. Given the evident computational overhead associated with two-layer algorithms, this paper investigates how to attain optimal dynamic regret without deploying a model ensemble. To this end, we introduce the notion of underlying dynamic regret, a specific form of the general dynamic regret that can encompass many applications of interest. We show that almost optimal dynamic regret can be obtained using a single-layer model alone. This is achieved by an adaptive restart equipped with wavelet detection, wherein a novel streaming wavelet operator is introduced to online update the wavelet coefficients via a carefully designed binary indexed tree. We apply our method to the online label shift adaptation problem, leading to new algorithms with optimal dynamic regret and significantly improved computation/storage efficiency compared to prior arts. Extensive experiments validate our proposal.

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