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Incremental Learning-to-Learn with Statistical Guarantees
Proceedings of the 34th Conference on Uncertainty in Artificial Intelligence, PMLR R16:456-465, 2018.
Abstract
In learning-to-learn the goal is to infer a learning algorithm that works well on a class of tasks sampled from an unknown meta- distribution. In contrast to previous work on batch learning-to-learn, we consider a scenario where tasks are presented sequentially and the algorithm needs to adapt incrementally to im- prove its performance on future tasks. Key to this setting is for the algorithm to rapidly in- corporate new observations into the model as they arrive, without keeping them in memory. We focus on the case where the underlying al- gorithm is Ridge Regression parametrised by a symmetric positive semidefinite matrix. We propose to learn this matrix by applying a stochastic strategy to minimize the empirical error incurred by Ridge Regression on future tasks sampled from the meta-distribution. We study the statistical properties of the proposed algorithm and prove non-asymptotic bounds on its excess transfer risk, that is, the gener- alization performance on new tasks from the same meta-distribution. We compare our on- line learning-to-learn approach with a state-of- the-art batch method, both theoretically and empirically.