Efficient Online Learning for Multitask Feature Selection
Learning explanatory features across multiple related tasks, or MultiTask Feature Selection (MTFS), is an important problem in the applications of data mining, machine learning, and bioinformatics. Previous MTFS methods fulfill this task by batch-mode training. This makes them inefficient when data come sequentially or when the number of training data is so large that they cannot be loaded into the memory simultaneously. In order to tackle these problems, we propose a novel online learning framework to solve the MTFS problem. A main advantage of the online algorithm is its efficiency in both time complexity and memory cost. The weights of the MTFS models at each iteration can be updated by closed-form solutions based on the average of previous subgradients. This yields the worst-case bounds of the time complexity and memory cost at each iteration, both in the order of O(d x Q), where d is the number of feature dimensions and Q is the number of tasks. Moreover, we provide theoretical analysis for the average regret of the online learning algorithms, which also guarantees the convergence rate of the algorithms. Finally, we conduct detailed experiments to show the characteristics and merits of the online learning algorithms in solving several MTFS problems.
online learning feature selection supervised learning multitask learning dual averaging method