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Sparse Online Learning via Truncated Gradient
John Langford · Lihong Li · Tong Zhang

Tue Dec 09 05:25 PM -- 05:26 PM (PST) @
We propose a general method called truncated gradient to induce sparsity in the weights of online-learning algorithms with convex loss. This method has several essential properties. First, the degree of sparsity is continuous---a parameter controls the rate of sparsification from no sparsification to total sparsification. Second, the approach is theoretically motivated, and an instance of it can be regarded as an online counterpart of the popular $L_1$-regularization method in the batch setting. We prove that small rates of sparsification result in only small additional regret with respect to typical online-learning guarantees. Finally, the approach works well empirically. We apply it to several datasets and find that for datasets with large numbers of features, substantial sparsity is discoverable.

Author Information

John Langford (Microsoft Research)

John Langford is a machine learning research scientist, a field which he says "is shifting from an academic discipline to an industrial tool". He is the author of the weblog hunch.net and the principal developer of Vowpal Wabbit. John works at Microsoft Research New York, of which he was one of the founding members, and was previously affiliated with Yahoo! Research, Toyota Technological Institute, and IBM's Watson Research Center. He studied Physics and Computer Science at the California Institute of Technology, earning a double bachelor's degree in 1997, and received his Ph.D. in Computer Science from Carnegie Mellon University in 2002. He was the program co-chair for the 2012 International Conference on Machine Learning.

Lihong Li (Amazon)
Tong Zhang (The Hong Kong University of Science and Technology)

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