Logarithmic Regret for parameter-free Online Logistic Regression - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

Logarithmic Regret for parameter-free Online Logistic Regression

Résumé

We consider online optimization procedures in the context of logistic regression, focusing on the Extended Kalman Filter (EKF). We introduce a second-order algorithm close to the EKF, named Semi-Online Step (SOS), for which we prove a O(log(n)) regret in the adversarial setting, paving the way to similar results for the EKF. This regret bound on SOS is the first for such parameter-free algorithm in the adversarial logistic regression. We prove for the EKF in constant dynamics a O(log(n)) regret in expectation and in the well-specified logistic regression model.
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Dates et versions

hal-02046843 , version 1 (22-02-2019)

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Joseph de Vilmarest, Olivier Wintenberger. Logarithmic Regret for parameter-free Online Logistic Regression. 2019. ⟨hal-02046843⟩
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