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A Quasi-Bayesian Perspective to Online Clustering

Le Li 1 Benjamin Guedj 2 Sébastien Loustau 3
2 MODAL - MOdel for Data Analysis and Learning
Inria Lille - Nord Europe, LPP - Laboratoire Paul Painlevé - UMR 8524, METRICS - Evaluation des technologies de santé et des pratiques médicales - ULR 2694, Polytech Lille - École polytechnique universitaire de Lille, Université de Lille, Sciences et Technologies
Abstract : When faced with high frequency streams of data, clustering raises theoretical and algorithmic pitfalls. We introduce a new and adaptive online clustering algorithm relying on a quasi-Bayesian approach, with a dynamic (i.e., time-dependent) estimation of the (unknown and changing) number of clusters. We prove that our approach is supported by minimax regret bounds. We also provide an RJMCMC-flavored implementation (called PACBO, see for which we give a convergence guarantee. Finally, numerical experiments illustrate the potential of our procedure.
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Le Li, Benjamin Guedj, Sébastien Loustau. A Quasi-Bayesian Perspective to Online Clustering. Electronic Journal of Statistics , Shaker Heights, OH : Institute of Mathematical Statistics, 2018, ⟨10.1214/18-EJS1479⟩. ⟨hal-01264233v4⟩



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