Augmenting virtual objects into a real scene requires estimating the scene illumination so that the augmented objects can become visually coherent with real objects. We propose an online technique that learns the illumination from image sequences captured by a hand-held device. We approximate the illumination with multiple linear models, and the coefficients and bandwidth parameters of the models are updated progressively in a data-driven way. Our online learning enables us to seamlessly integrate virtual objects into a real scene by rendering the objects with the estimated lights. We demonstrate that our framework can provide a high-quality global illumination result in augmented reality at interactive rates.