在线线性回归模型OLR-WA能快速收敛,适应数据漂移,适合小样本启动。
OLR-WA: Online Weighted Average Linear Regression in Multivariate Data Streams
- 基于加权平均的在线更新策略,动态调整历史数据权重。
- 仅需1%-10%初始数据即达高R²,收敛速度优于现有模型。
- 擅长处理时间漂移和高置信度数据场景,适合实时系统部署。
在线学习通过增量更新模型,避免大存储和频繁重训练。本文提出新型多变量在线线性回归模型OLR-WA(OnLine Regression with Weighted Average),研究数据漂移下的性能表现,进行收敛性分析,并与现有在线回归模型对比。结果表明,OLR-WA性能接近批量回归,且在多数情况下优于或等同于当前先进在线模型。其优势在于快速收敛——从第一轮到最后一轮迭代始终维持高R²值,即使初始数据仅占总量的1%至10%。此外,该模型不仅适用于时间漂移场景,更在依赖置信度的挑战性场景中表现卓越:通过保守更新机制,优先保留高置信度的历史数据点。综上,OLR-WA具备高度泛化能力,适用于多种在线线性回归任务。
原文摘要 · Abstract (English)
Online learning updates models incrementally with new data, avoiding large storage requirements and costly model recalculations. In this paper, we introduce "OLR-WA; OnLine Regression with Weighted Average", a novel and versatile multivariate online linear regression model. We also investigate scenarios involving drift, where the underlying patterns in the data evolve over time, conduct convergence analysis, and compare our approach with existing online regression models. The results of OLR-WA demonstrate its ability to achieve performance comparable to the batch regression, while also showcasing comparable or superior performance when compared with other state-of-the-art online models, thus establishing its effectiveness. Moreover, OLR-WA exhibits exceptional performance in terms of rapid convergence, surpassing other online models with consistently achieving high r2 values as a performance measure from the first iteration to the last iteration, even when initialized with minimal amount of data points, as little as 1% to 10% of the total data points. In addition to its ability to handle time-based (temporal drift) scenarios, remarkably, OLR-WA stands out as the only model capable of effectively managing confidence-based challenging scenarios. It achieves this by adopting a conservative approach in its updates, giving priority to older data points with higher confidence levels. In summary, OLR-WA's performance further solidifies its versatility and utility across different contexts, making it a valuable solution for online linear regression tasks.
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