Sparse Online Greedy Support Vector Regression
We present a novel algorithm for sparse online greedy kernel-based nonlinear regression. This algorithm improves current approaches to kernel-based regression in two aspects. First, it operates online - at each time step it observes a single new input sample, performs an update and discards it. Second, the solution maintained is extremely sparse. This is achieved by an explicit greedy sparsification process that admits into the kernel representation a new input sample only if its feature space image is linearly independent of the images of previously admitted samples. We show that the algorithm implements a form of gradient ascent and demonstrate its scaling and noise tolerance properties on three benchmark regression problems.