In this class we are going to introduce online learning from three different perspectives - stochastic approximation, incremental emprical risk minimization and game theoretic. We introduce recursive (incremental) and online algorithms for optimizing RLS, and compare their merits.
Slides for this lecture: PDF.
H. J. Kushner and G. Yin Stochastic Approximation, Recursive Algorithms and Applications. 2nd Edition, Springer-Verlag, New York, 2003, [Applications of Mathematics, Volume 35
Nicolo Cesa-Bianchi and Gabor Lugosi. Prediction, learning and games. Cambridge University Press 2006.