Nonlinear Online Learning with Adaptive Nyström Approximation

Abstract: Use of nonlinear feature maps via kernel approximation has led to success in many online learning tasks. As a popular kernel approximation method, Nystr\"{o}m approximation, has been well investigated, and various landmark points selection methods have been proposed to improve the approximation quality. However, these improved Nystr\"{o}m methods cannot be directly applied to the online learning setting as they need to access the entire dataset to learn the landmark points, while we need to update model on-the-fly in the online setting. To address this challenge, we propose Adaptive Nystr\"{o}m approximation for solving nonlinear online learning problems. The key idea is to adaptively modify the landmark points via online kmeans and adjust the model accordingly via solving least square problem followed by a gradient descent step. We show that the resulting algorithm outperforms state-of-the-art online learning methods under the same budget.