Abstract

With the rapid development of information theoretic learning, the maximum correntropy criterion (MCC) has been widely used in time series prediction area. Especially, the kernel recursive least squares (KRLS) based on MCC is studied recently due to its online recursive form and the ability to resist noise and be robust in non-Gaussian environments. However, it is not always an optimal choice that using the correntropy, which is calculated by default Gaussian kernel function, to describe the local similarity between variables. Besides, the computational burden of MCC based KRLS will raise as data size increases, thus causing difficulties in accommodating time-varying environments. Therefore, this paper proposes a quantized generalized MCC (QGMCC) to solve the above problem. Specifically, a generalized MCC (GMCC) is utilized to enhance the accuracy and flexibility in calculating the correntropy. In order to solve the problem of computational complexity, QGMCC quantizes the input space and upper bounds the network size by vector quantization (VQ) method. Furthermore, QGMCC is applied to KRLS and forming a computationally efficient and precisely predictive algorithm. After that, the improved algorithm named quantized kernel recursive generalized maximum correntropy (QKRGMC) is set up and the derivation process is also given. Experimental results of one benchmark dataset and two real-world datasets are present to verify the effectiveness of the online prediction algorithm.

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