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research article

Tracking Performance of Online Stochastic Learners

Vlaski, Stefan  
•
Rizk, Elsa  
•
Sayed, Ali H.  
January 1, 2020
IEEE Signal Processing Letters

The utilization of online stochastic algorithms is popular in large-scale learning settings due to their ability to compute updates on the fly, without the need to store and process data in large batches. When a constant step-size is used, these algorithms also have the ability to adapt to drifts in problem parameters, such as data or model properties, and track the optimal solution with reasonable accuracy. Building on analogies with the study of adaptive filters, we establish a link between steady-state performance derived under stationarity assumptions and the tracking performance of online learners under random walk models. The link allows us to infer the tracking performance from steady-state expressions directly and almost by inspection.

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Type
research article
DOI
10.1109/LSP.2020.3013775
Web of Science ID

WOS:000562025400003

Author(s)
Vlaski, Stefan  
Rizk, Elsa  
Sayed, Ali H.  
Date Issued

2020-01-01

Publisher

IEEE Institute of Electrical and Electronics Engineers

Published in
IEEE Signal Processing Letters
Volume

27

Start page

1385

End page

1389

Subjects

Engineering, Electrical & Electronic

•

Engineering

•

stochastic processes

•

signal processing algorithms

•

optimization

•

adaptation models

•

random variables

•

steady-state

•

noise measurement

•

online learning

•

stochastic learning

•

tracking performance

•

non-stationary environment

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ASL  
Available on Infoscience
September 6, 2020
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/171429
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