A Stability Principle for Learning under Non-Stationarity
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| _version_ | 1866912377916620800 |
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| author | Huang, Chengpiao Wang, Kaizheng |
| author_facet | Huang, Chengpiao Wang, Kaizheng |
| contents | We develop a versatile framework for statistical learning in non-stationary environments. In each time period, our approach applies a stability principle to select a look-back window that maximizes the utilization of historical data while keeping the cumulative bias within an acceptable range relative to the stochastic error. Our theory showcases the adaptivity of this approach to unknown non-stationarity. We prove regret bounds that are minimax optimal up to logarithmic factors when the population losses are strongly convex, or Lipschitz only. At the heart of our analysis lie two novel components: a measure of similarity between functions and a segmentation technique for dividing the non-stationary data sequence into quasi-stationary pieces. We evaluate the practical performance of our approach through real-data experiments on electricity demand prediction and hospital nurse staffing. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_18304 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | A Stability Principle for Learning under Non-Stationarity Huang, Chengpiao Wang, Kaizheng Machine Learning Artificial Intelligence Optimization and Control 68T05, 90C15 We develop a versatile framework for statistical learning in non-stationary environments. In each time period, our approach applies a stability principle to select a look-back window that maximizes the utilization of historical data while keeping the cumulative bias within an acceptable range relative to the stochastic error. Our theory showcases the adaptivity of this approach to unknown non-stationarity. We prove regret bounds that are minimax optimal up to logarithmic factors when the population losses are strongly convex, or Lipschitz only. At the heart of our analysis lie two novel components: a measure of similarity between functions and a segmentation technique for dividing the non-stationary data sequence into quasi-stationary pieces. We evaluate the practical performance of our approach through real-data experiments on electricity demand prediction and hospital nurse staffing. |
| title | A Stability Principle for Learning under Non-Stationarity |
| topic | Machine Learning Artificial Intelligence Optimization and Control 68T05, 90C15 |
| url | https://arxiv.org/abs/2310.18304 |