Reviews: Online Learning for Multivariate Hawkes Processes

This paper describes an algorithm for optizimization of Hawkes process parameters in on-line settings, where non-parametric form of a kernel is learnt. The paper reports a gradient approach to optimization, with theoretical analysis thereof. In particular, the authors provide: a regret bound, justification for simplification steps (discretization of time and truncation of time over which previous posts influence a new post), an approach to a tractable projection of the solution (a step in the algorithm), time complexity analysis. The paper is very well written, which is very helpful given it is mathematically involved. I found it tackling an important problem (on-line learning is important for large scale datasets, and non-parametricity is a very reasonable setting when it is hard to specify a reasonable kernel form a priori).