Online prediction of time series data with recurrent kernels

• Main Authors: Xu, Zhao, Song, Qing, Haijin, Fan, Wang, Danwei
• Other Authors: School of Electrical and Electronic Engineering
• Format: Conference or Workshop Item
• Language: English
• Published: 2013
• Subjects: DRNTU::Engineering::Electrical and electronic engineering
• Online Access: https://hdl.handle.net/10356/98301; http://hdl.handle.net/10220/12420
• Institution: Nanyang Technological University

We propose a robust recurrent kernel online learning (RRKOL) algorithm which allows the exploitation of the kernel trick in an online fashion. The novel RRKOL algorithm achieves guaranteed weight convergence with regularized risk management through the recurrent hyper-parameters for a superior gener...