OLR-WA: Online Weighted Average Linear Regression in Multivariate Data Streams

TL;DR

OLR-WA is a new online multivariate linear regression model that adapts quickly, handles data drift, and manages confidence-based scenarios effectively, matching or surpassing existing models in performance.

Contribution

Introduces OLR-WA, a versatile online linear regression model that handles drift and confidence scenarios, with proven rapid convergence and high accuracy.

Findings

Achieves performance comparable to batch regression.

Outperforms existing online models in convergence speed.

Effectively manages confidence-based data scenarios.

Abstract

Online learning updates models incrementally with new data, avoiding large storage requirements and costly model recalculations. In this paper, we introduce "OLR-WA; OnLine Regression with Weighted Average", a novel and versatile multivariate online linear regression model. We also investigate scenarios involving drift, where the underlying patterns in the data evolve over time, conduct convergence analysis, and compare our approach with existing online regression models. The results of OLR-WA demonstrate its ability to achieve performance comparable to the batch regression, while also showcasing comparable or superior performance when compared with other state-of-the-art online models, thus establishing its effectiveness. Moreover, OLR-WA exhibits exceptional performance in terms of rapid convergence, surpassing other online models with consistently achieving high r2 values as a performance measure from the first iteration to the last iteration, even when initialized with minimal amount of data points, as little as 1% to 10% of the total data points. In addition to its ability to handle time-based (temporal drift) scenarios, remarkably, OLR-WA stands out as the only model capable of effectively managing confidence-based challenging scenarios. It achieves this by adopting a conservative approach in its updates, giving priority to older data points with higher confidence levels. In summary, OLR-WA's performance further solidifies its versatility and utility across different contexts, making it a valuable solution for online linear regression tasks.