
This paper derives an identity connecting the square loss of ridge regression in on-line mode with the loss of the retrospectively best regressor. Some corollaries about the properties of the cumulative loss of on-line ridge regression are also obtained.
35 pages; extended version of ALT 2010 paper (Proceedings of ALT 2010, LNCS 6331, Springer, 2010)
FOS: Computer and information sciences, Computer Science - Machine Learning, 330, Faculty of Science\Computer Science, Theoretical Computer Science, Computer Science(all), Machine Learning (cs.LG)
FOS: Computer and information sciences, Computer Science - Machine Learning, 330, Faculty of Science\Computer Science, Theoretical Computer Science, Computer Science(all), Machine Learning (cs.LG)
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