Online Robust and Adaptive Learning from Data Streams

In online learning from non-stationary data streams, it is necessary to learn robustly to outliers and to adapt quickly to changes in the underlying data generating mechanism. In this paper, we refer to the former attribute of online learning algorithms as robustness and to the latter as adaptivity. There is an obvious tradeoff between the two attributes. It is a fundamental issue to quantify and evaluate the tradeoff because it provides important information on the data generating mechanism. However, no previous work has considered the tradeoff quantitatively. We propose a novel algorithm called the stochastic approximation-based robustness-adaptivity algorithm (SRA) to evaluate the tradeoff. The key idea of SRA is to update parameters of distribution or sufficient statistics with the biased stochastic approximation scheme, while dropping data points with large values of the stochastic update. We address the relation between the two parameters: one is the step size of the stochastic approximation, and the other is the threshold parameter of the norm of the stochastic update. The former controls the adaptivity and the latter does the robustness. We give a theoretical analysis for the non-asymptotic convergence of SRA in the presence of outliers, which depends on both the step size and threshold parameter. Because SRA is formulated on the majorization-minimization principle, it is a general algorithm that includes many algorithms, such as the online EM algorithm and stochastic gradient descent. Empirical experiments for both synthetic and real datasets demonstrated that SRA was superior to previous methods.