An Identity for Kernel Ridge Regression

This paper provides a probabilistic derivation of an identity connecting the square loss of ridge regression in on-line mode with the loss of a retrospectively best regressor. Some corollaries of the identity providing upper bounds for the cumulative loss of on-line ridge regression are also discussed.

• Type: Journal
• Year: 2010
• Where: ALT
• Authors: Fedor Zhdanov, Yuri Kalnishkan
• Keywords: ALT 2010, Machine Learning, On-line Ridge Regression, Ridge Regression, Square Loss