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I have built an ML model with the goal of making predictions for targets of the following week. In general, new data will come in and be processed at the end of each week and be in the same data structure as before. In other words, the same number of features, same classes for classification, etc.

Instead of re-training the model from scratch for each week's predictions, I am considering applying an incremental learning approach so that past learning is not entirely discarded and the model would (presumably) increase in performance over time. I'm working with sklearn on Python 3. There were only a handful of posts on StackOverflow regarding this, but many of the answers seem inconsistent (possibly due to updates with sklearn's API?).

The documentation here and here suggests that incremental/online learning is possible with certain ML implementations - implying that the new datasets could be thought of as "mini-batches" and incrementally trained by saving/loading the model and calling .partial_fit() with the same model parameters.

Although all algorithms cannot learn incrementally (i.e. without seeing all the instances at once), all estimators implementing the partial_fit API are candidates. 1

Unlike fit, repeatedly calling partial_fit does not clear the model, but updates it with respect to the data provided. The portion of data provided to partial_fit may be called a mini-batch. Each mini-batch must be of consistent shape, etc. In iterative estimators, partial_fit often only performs a single iteration. 2

However, the documentation here is throwing me off.

partial_fit also retains the model between calls, but differs: with warm_start the parameters change and the data is (more-or-less) constant across calls to fit; with partial_fit, the mini-batch of data changes and model parameters stay fixed. 3

There are cases where you want to use warm_start to fit on different, but closely related data. 3

For the problem I am tackling, ideally model parameters should be adjusted based on cross-validation and new datasets should be weighted more heavily than old ones due to concept drift. However ignoring this for now,

  1. In (3), what exactly does "(more-or-less) constant...different but closely related data" mean? Since the data structure of new datasets are the same, should i be calling estimator(warm_start=True).fit(#new df) or estimator.partial_fit(#new df)?
  2. For iterative estimators such as sklearn.linear_model.SGDClassifier, only one epoch is run when using .partial_fit(). If I want $k$ epochs, would calling it on the same dataset repeatedly be the same as calling .fit() with $k$ epochs to begin with?
  3. Do dedicated libraries such as creme offer any advantage for incremental learniing?
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Answering my own question after some investigation:

  • warm_start=True and calling .fit() sequentially should not be used for incremental learning on new datasets with potential concept drift. It simply uses the previously fitted model's parameters to initialize a new fit, and will likely be overwritten if the new data is sufficiently different (i.e. signals are different). After a few mini-batches with large enough sample size (datasets in my case), the overall performance converges to exactly that of simply re-initializing the model. My guess is that this method should be used for the primary purpose of reducing training time when fitting the same dataset, or when there is no significant concept drift in new data.
  • partial_fit on the other hand has an effect and can be used for incremental learning (especially for datasets too large to fit into memory and feeding in mini-batches). However, in datasets with potential concept drift or high noise, it performs worse than disregarding past observations and simply fitting on each dataset without any incremental learning.
  • For SGDClassifier, calling partial_fit repeatedly makes a difference.
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Just to add another, hopefully clarifying example: You may have fitted 100 trees in a random forest model and you want to add 10 more. Then you can achieve this by setting estimator.set_params(n_estimators=110, warm_start=True) and calling the fit method of the already fitted estimator. It typically would not make sense to fit the first 100 trees on one part of the data and the next 10 trees on a different part. Warm start doesn't change the first 100 trees.

Similarly for GradientBoostingClassifier you can add more boosted trees using warm_start. You wouldn't want an additional boosted tree to be fitted on a different mini-batch. This would result in a chaotic learning process.

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