An Online Projection Estimator for Nonparametric Regression in Reproducing Kernel Hilbert Spaces.

Abstract

The goal of nonparametric regression is to recover an underlying regression function from noisy observations, under the assumption that the regression function belongs to a prespecified infinite-dimensional function space. In the online setting, in which the observations come in a stream, it is generally computationally infeasible to refit the whole model repeatedly. As yet, there are no methods that are both computationally efficient and statistically rate optimal. In this paper, we propose an estimator for online nonparametric regression. Notably, our estimator is an empirical risk minimizer in a deterministic linear space, which is quite different from existing methods that use random features and a functional stochastic gradient. Our theoretical analysis shows that this estimator obtains a rate-optimal generalization error when the regression function is known to live in a reproducing kernel Hilbert space. We also show, theoretically and empirically, that the computational cost of our estimator is much lower than that of other rate-optimal estimators proposed for this online setting.