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Multiple-model approach to non-linear kernel-based adaptive filtering

Dodd, T.J., Mitchinson, B. and Harrison, R.F. (2003) Multiple-model approach to non-linear kernel-based adaptive filtering. Research Report. ACSE Research Report no. 830 . Automatic Control and Systems Engineering, University of Sheffield

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Abstract

Kernel methods now provide standard tools for the solution of function approximation and pattern classification problems. However, it is typically assumed that all data are available for training. More recently, various approaches have been proposed for extending kernel methods to sequential problems whereby the model is updated as each new data point arrives. Whilst these approaches have proven successful in estimating the basic parameters, the problem of estimating the hyperparameters which determine the overall model behaviour, remains essentially unsolved. In this paper a novel approach to the hyperparameters is presented based on a multiple model framework. An ensemble of models with different hyperparameters is trained in parallel, the outputs of which are subsequently combined based on a predictive performance measure. This new approach is sucessfully demonstrated in a standard benchmark time series problem.

Item Type: Monograph (Research Report)
Copyright, Publisher and Additional Information: The Department of Automatic Control and Systems Engineering research reports offer a forum for the research output of the academic staff and research students of the Department at the University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. Some papers in the series may have been subsequently published elsewhere and you are advised to cite the later published version in these instances.
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Engineering (Sheffield) > Department of Automatic Control and Systems Engineering (Sheffield) > ACSE Research Reports
Depositing User: Miss Anthea Tucker
Date Deposited: 11 Sep 2012 09:40
Last Modified: 04 Jun 2014 13:47
Status: Published
Publisher: Automatic Control and Systems Engineering, University of Sheffield
URI: http://eprints.whiterose.ac.uk/id/eprint/74487

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