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Abstract for freitas_nips97

In M. I. Jordan, M. J. Kearns and S. A. Solla, editors, Advances in Neural Information Processing Systems 10, pages 458-464. MIT Press, 1998.

REGULARISATION IN SEQUENTIAL LEARNING ALGORITHMS

JFG de Freitas, M Niranjan and AH Gee

December 1997

In this paper, we discuss regularisation in online/sequential learning algorithms. In environments where data arrives sequentially, techniques such as cross-validation to achieve regularisation or model selection are not possible. Further, bootstrapping to determine a confidence level is not practical. To surmount these problems, a minimum variance estimation approach that makes use of the extended Kalman algorithm for training multi-layer perceptrons is employed. The novel contribution of this paper is to show the theoretical links between extended Kalman filtering, Sutton's variable learning rate algorithms and Mackay's Bayesian estimation framework. In doing so, we propose algorithms to overcome the need for heuristic choices of the initial conditions and noise covariance matrices in the Kalman approach.


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