Fast Learning from Non-i.i.d. Observations

Part of Advances in Neural Information Processing Systems 22 (NIPS 2009)

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Ingo Steinwart, Andreas Christmann


We prove an oracle inequality for generic regularized empirical risk minimization algorithms learning from $\a$-mixing processes. To illustrate this oracle inequality, we use it to derive learning rates for some learning methods including least squares SVMs. Since the proof of the oracle inequality uses recent localization ideas developed for independent and identically distributed (i.i.d.) processes, it turns out that these learning rates are close to the optimal rates known in the i.i.d. case.