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Online Multitask Learning with Long-Term Memory
Mark Herbster · Stephen Pasteris · Lisa Tse

Tue Dec 08 09:00 AM -- 11:00 AM (PST) @ Poster Session 1 #430

We introduce a novel online multitask setting. In this setting each task is partitioned into a sequence of segments that is unknown to the learner. Associated with each segment is a hypothesis from some hypothesis class. We give algorithms that are designed to exploit the scenario where there are many such segments but significantly fewer associated hypotheses. We prove regret bounds that hold for any segmentation of the tasks and any association of hypotheses to the segments. In the single-task setting this is equivalent to switching with long-term memory in the sense of [Bousquet and Warmuth 2011]. We provide an algorithm that predicts on each trial in time linear in the number of hypotheses when the hypothesis class is finite. We also consider infinite hypothesis classes from reproducing kernel Hilbert spaces for which we give an algorithm whose per trial time complexity is cubic in the number of cumulative trials. In the single-task special case this is the first example of an efficient regret-bounded switching algorithm with long-term memory for a non-parametric hypothesis class.

Author Information

Mark Herbster (University College London)
Stephen Pasteris (University College London)
Lisa Tse (University College London)

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