Online Bayesian Multiple Kernel Bipartite Ranking

Bipartite ranking aims to maximize the area under the ROC curve (AUC) of a decision function. To tackle this problem when the data appears sequentially, existing online AUC maximization methods focus on seeking a point estimate of the decision function in a linear or predefined single kernel space, and cannot learn effective kernels automatically from the streaming data. In this paper, we first develop a Bayesian multiple kernel bipartite ranking model, which circumvents the kernel selection problem by estimating a posterior distribution over the model weights. To make our model applicable to streaming data, we then present a kernelized online Bayesian passive-aggressive learning framework by maintaining a variational approximation to the posterior based on data augmentation. Furthermore, to efficiently deal with large-scale data, we design a fixed budget strategy which can effectively control online model complexity. Extensive experimental studies confirm the superiority of our Bayesian multi-kernel approach.