Random Permutation Online Isotonic Regression

Part of Advances in Neural Information Processing Systems 30 (NIPS 2017)

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Wojciech Kotlowski, Wouter M. Koolen, Alan Malek


<p>We revisit isotonic regression on linear orders, the problem of fitting monotonic functions to best explain the data, in an online setting. It was previously shown that online isotonic regression is unlearnable in a fully adversarial model, which lead to its study in the fixed design model. Here, we instead develop the more practical random permutation model. We show that the regret is bounded above by the excess leave-one-out loss for which we develop efficient algorithms and matching lower bounds. We also analyze the class of simple and popular forward algorithms and recommend where to look for algorithms for online isotonic regression on partial orders.</p>