Recurrent Real-valued Neural Autoregressive Density Estimator for Online Density Estimation and Classification of Streaming Data
Keywords: density estimation, online learning, streaming data, classification
Abstract: In contrast with the traditional offline learning, where complete data accessibility is assumed, many modern applications involve processing data in a streaming fashion. This online learning setting raises various challenges, including concept drift, hardware memory constraints, etc. In this paper, we propose the Recurrent Real-valued Neural Autoregressive Density Estimator (RRNADE), a flexible density-based model for online classification and density estimation. RRNADE combines a neural Gaussian mixture density module with a recurrent module. This combination allows RRNADE to exploit possible sequential correlations in the streaming task, which are often ignored in the classical streaming setting where each input is assumed to be independent from the previous ones. We showcase the ability of RRNADE to adapt to concept drifts on synthetic density estimation tasks. We also apply RRNADE to online classification tasks on both real world and synthetic datasets and compare it with multiple density based as well as nondensity based online classification methods. In almost all of these tasks, RRNADE outperforms the other methods. Lastly, we conduct an ablation study demonstrating the complementary benefits of the density and the recurrent modules.
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Please Choose The Closest Area That Your Submission Falls Into: Probabilistic Methods (eg, variational inference, causal inference, Gaussian processes)
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