Logarithmic Regret for parameter-free Online Logistic Regression

26 Feb 2019Joseph De VilmarestOlivier Wintenberger

We consider online optimization procedures in the context of logistic regression, focusing on the Extended Kalman Filter (EKF). We introduce a second-order algorithm close to the EKF, named Semi-Online Step (SOS), for which we prove a O(log(n)) regret in the adversarial setting, paving the way to similar results for the EKF... (read more)

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