OUTLIER-ROBUST KERNEL HIERARCHICAL-OPTIMIZATION RLS ON A BUDGET WITH AFFINE CONSTRAINTS
preprintposted on 08.02.2021, 16:53 by Konstantinos Slavakis, Masahiro Yukawa
This paper introduces a non-parametric learning framework to combat outliers in online, multi-output, and nonlinear regression tasks. A hierarchical-optimization problem underpins the learning task: Search in a reproducing kernel Hilbert space (RKHS) for a function that minimizes a sample average $\ell_p$-norm ($1 \leq p \leq 2$) error loss on data contaminated by noise and outliers, subject to side information that takes the form of affine constraints defined as the set of minimizers of a quadratic loss on a finite number of faithful data devoid of noise and outliers. To surmount the computational obstacles inflicted by the choice of loss and the potentially infinite dimensional RKHS, approximations of the $\ell_p$-norm loss, as well as a novel twist of the criterion of approximate linear dependency are devised to keep the computational-complexity footprint of the proposed algorithm bounded over time. Numerical tests on datasets showcase the robust behavior of the advocated framework against different types of outliers, under a low computational load, while satisfying at the same time the affine constraints, in contrast to the state-of-the-art methods which are constraint agnostic.
© 20XX IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.