dc.contributor.author | Yazidi, Anis | |
dc.contributor.author | Hammer, Hugo Lewi | |
dc.date.accessioned | 2019-12-11T09:29:27Z | |
dc.date.accessioned | 2020-01-03T13:11:27Z | |
dc.date.available | 2019-12-11T09:29:27Z | |
dc.date.available | 2020-01-03T13:11:27Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Yazidi A, Hammer HL. Multiplicative Update Methods for Incremental Quantile Estimation. IEEE Transactions on Cybernetics. 2019;49(3):746-756 | en |
dc.identifier.issn | 2168-2267 | |
dc.identifier.issn | 2168-2267 | |
dc.identifier.issn | 2168-2275 | |
dc.identifier.uri | https://hdl.handle.net/10642/7943 | |
dc.description.abstract | We present a novel lightweight incremental quantile estimator which possesses far less complexity than the Tierney's estimator and its extensions. Notably, our algorithm relies only on tuning one single parameter which is a plausible property which we could only find in the discretized quantile estimator Frugal. This makes our algorithm easy to tune for better performance. Furthermore, our algorithm is multiplicative which makes it highly suitable to handle quantile estimation in systems in which the underlying distribution varies with time. Unlike Frugal and our legacy work which are randomized algorithms, we suggest deterministic updates where the step size is adjusted in a subtle manner to ensure the convergence. The deterministic algorithm is more efficient since the estimate is updated at every iteration. The convergence of the proposed estimator is proven using the theory of stochastic learning. Extensive experimental results show that our estimator clearly outperforms legacy works. | en |
dc.language.iso | en | en |
dc.publisher | Institute of Electrical and Electronics Engineers | en |
dc.relation.ispartofseries | IEEE Transactions on Cybernetics;VOL. 49, NO. 3 | |
dc.rights | Author's post-print on author's personal website or employer's website or IEEE approved not-for-profit third party (8.1.9.G.2 ) website or Institutional repository.
© 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. | en |
dc.subject | Multiplicative updates | en |
dc.subject | Quantile estimations | en |
dc.subject | Time varying distribution | en |
dc.title | Multiplicative Update Methods for Incremental Quantile Estimation | en |
dc.type | Journal article | en |
dc.type | Peer reviewed | en |
dc.date.updated | 2019-12-11T09:29:27Z | |
dc.description.version | acceptedVersion | en |
dc.identifier.doi | https://dx.doi.org/10.1109/TCYB.2017.2779140 | |
dc.identifier.cristin | 1692870 | |
dc.source.journal | IEEE Transactions on Cybernetics | |