Iterative ridge regression using the aggregating algorithm

Abstract

In this paper, regularised regression for sequential data is investigated and a new ridge regression algorithm is proposed. It uses the Aggregating Algorithm (AA) to devise an iterative version of ridge regression (IRR). This algorithm is called AAIRR. A competitive analysis is conducted to show that the guarantee on the performance of AAIRR is better than that of the known online ridge regression algorithms. Moreover, an empirical study is carried out on real-world datasets to demonstrate the superior performance over those state-of-the-art algorithms.