Hierarchical bayesian models for regularisation in sequential learning

We show that a hierarchical Bayesian modeling approach allows us to perform regularization in sequential learning. We identify three inference levels within this hierarchy: model selection, parameter estimation, and noise estimation. In environments where data arrive sequentially, techniques such as cross validation to achieve regularization or model selection are not possible. The Bayesian approach, with extended Kalman filtering at the parameter estimation level, allows for regularization within a minimum variance framework. A multilayer perceptron is used to generate the extended Kalman filter nonlinear measurements mapping. We describe several algorithms at the noise estimation level that allow us to implement on-line regularization. We also show the theoretical links between adaptive noise estimation in extended Kalman filtering, multiple adaptive learning rates, and multiple smoothing regularization coefficients.