Online Kernel Learning with a Near Optimal Sparsity Bound

In this work, we focus on Online Sparse Kernel Learning that aims to online learn a kernel classifier with a bounded number of support vectors. Although many online learning algorithms have been proposed to learn a sparse kernel classifier, most of them fail to bound the number of support vectors used by the final solution which is the average of the intermediate kernel classifiers generated by online algorithms. The key idea of the proposed algorithm is to measure the difficulty in correctly classifying a training example by the derivative of a smooth loss function, and give a more chance to a difficult example to be a support vector than an easy one via a sampling scheme. Our analysis shows that when the loss function is smooth, the proposed algorithm yields similar performance guarantee as the standard online learning algorithm but with a near optimal number of support vectors (up to a poly(ln T) factor). Our empirical study shows promising performance of the proposed algorithm compared to the state-of-the-art algorithms for online sparse kernel learning.