An Identity for Kernel Ridge Regression

This paper derives an identity connecting the square loss of ridge regression in on-line mode with the loss of the retrospectively best regressor. Some corollaries about the properties of the cumulative loss of on-line ridge regression are also obtained.Comment: 35 pages; extended version of ALT 2010 paper (Proceedings of ALT 2010, LNCS 6331, Springer, 2010