Title: Random Feature-based Online Multi-kernel Learning in Environments with Unknown Dynamics,
Abstract: Kernel-based methods exhibit well-documented performance in various nonlinear
learning tasks. Most of them rely on a preselected kernel, whose prudent choice
presumes task-specific prior information. Especially when the latter is not
available, multi-kernel learning has gained popularity thanks to its
flexibility in choosing kernels from a prescribed kernel dictionary. Leveraging
the random feature approximation and its recent orthogonality-promoting
variant, the present contribution develops a scalable multi-kernel learning
scheme (termed Raker) to obtain the sought nonlinear learning function `on the
fly,' first for static environments. To further boost performance in dynamic
environments, an adaptive multi-kernel learning scheme (termed AdaRaker) is
developed. AdaRaker accounts not only for data-driven learning of kernel
combination, but also for the unknown dynamics. Performance is analyzed in
terms of both static and dynamic regrets. AdaRaker is uniquely capable of
tracking nonlinear learning functions in environments with unknown dynamics,
and with with analytic performance guarantees. Tests with synthetic and real
datasets are carried out to showcase the effectiveness of the novel algorithms.