NIPS Proceedingsβ

The Forget-me-not Process

Part of: Advances in Neural Information Processing Systems 29 (NIPS 2016)

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Conference Event Type: Poster


We introduce the Forget-me-not Process, an efficient, non-parametric meta-algorithm for online probabilistic sequence prediction for piecewise stationary, repeating sources. Our method works by taking a Bayesian approach to partition a stream of data into postulated task-specific segments, while simultaneously building a model for each task. We provide regret guarantees with respect to piecewise stationary data sources under the logarithmic loss, and validate the method empirically across a range of sequence prediction and task identification problems.