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16 - A Bayesian Approach to On-line Learning

Published online by Cambridge University Press:  28 January 2010

Manfred Opper
Affiliation:
Neural Computing Research Group, Aston University Birmingham B4 7ET, UK.
David Saad
Affiliation:
Aston University
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Summary

Abstract

Online learning is discussed from the viewpoint of Bayesian statistical inference. By replacing the true posterior distribution with a simpler parametric distribution, one can define an online algorithm by a repetition of two steps: An update of the approximate posterior, when a new example arrives, and an optimal projection into the parametric family. Choosing this family to be Gaussian, we show that the algorithm achieves asymptotic efficiency. An application to learning in single layer neural networks is given.

Introduction

Neural networks have the ability to learn from examples. For batch learning, a set of training examples is collected and subsequently an algorithm is run on the entire training set to adjust the parameters of the network. On the other hand, for many practical problems, examples arrive sequentially and an instantaneous action is required at each time. In order to save memory and time this action should not depend on the entire set of data which have arrived sofar. This principle is realized in online algorithms, where usually only the last example is used for an update of the network's parameters. Obviously, some amount of information about the past examples is discarded in this approach. Surprisingly, recent studies showed that online algorithms can achieve a similar performance as batch algorithms, when the number of data grows large (Biehl and Riegler 1994; Barkai et al 1995; Kim and Sompolinsky 1996).

In order to understand the abilities and limitations of online algorithms, the question of optimal online learning has been raised.

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Publisher: Cambridge University Press
Print publication year: 1999

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