Online Censoring for Large-Scale Regressions with Application to Streaming Big Data

DOI10.1109/TSP.2016.2546225zbMATH Open1414.94071arXiv1507.07536OpenAlexW963427357WikidataQ31152272 ScholiaQ31152272MaRDI QIDQ4622073FDOQ4622073

Georgios B. Giannakis, Vassilis Kekatos, Dimitris Berberidis

Publication date: 8 February 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: Linear regression is arguably the most prominent among statistical inference methods, popular both for its simplicity as well as its broad applicability. On par with data-intensive applications, the sheer size of linear regression problems creates an ever growing demand for quick and cost efficient solvers. Fortunately, a significant percentage of the data accrued can be omitted while maintaining a certain quality of statistical inference with an affordable computational budget. The present paper introduces means of identifying and omitting "less informative" observations in an online and data-adaptive fashion, built on principles of stochastic approximation and data censoring. First- and second-order stochastic approximation maximum likelihood-based algorithms for censored observations are developed for estimating the regression coefficients. Online algorithms are also put forth to reduce the overall complexity by adaptively performing censoring along with estimation. The novel algorithms entail simple closed-form updates, and have provable (non)asymptotic convergence guarantees. Furthermore, specific rules are investigated for tuning to desired censoring patterns and levels of dimensionality reduction. Simulated tests on real and synthetic datasets corroborate the efficacy of the proposed data-adaptive methods compared to data-agnostic random projection-based alternatives.

Full work available at URL: https://arxiv.org/abs/1507.07536

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (2)

• Optimal sampling designs for multidimensional streaming time series with application to power grid sensor data
• Building a fault tolerant framework with deadline guarantee in big data stream computing environments

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