1,022 research outputs found
Error Bounds for Piecewise Smooth and Switching Regression
The paper deals with regression problems, in which the nonsmooth target is
assumed to switch between different operating modes. Specifically, piecewise
smooth (PWS) regression considers target functions switching deterministically
via a partition of the input space, while switching regression considers
arbitrary switching laws. The paper derives generalization error bounds in
these two settings by following the approach based on Rademacher complexities.
For PWS regression, our derivation involves a chaining argument and a
decomposition of the covering numbers of PWS classes in terms of the ones of
their component functions and the capacity of the classifier partitioning the
input space. This yields error bounds with a radical dependency on the number
of modes. For switching regression, the decomposition can be performed directly
at the level of the Rademacher complexities, which yields bounds with a linear
dependency on the number of modes. By using once more chaining and a
decomposition at the level of covering numbers, we show how to recover a
radical dependency. Examples of applications are given in particular for PWS
and swichting regression with linear and kernel-based component functions.Comment: This work has been submitted to the IEEE for possible publication.
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Structural Return Maximization for Reinforcement Learning
Batch Reinforcement Learning (RL) algorithms attempt to choose a policy from
a designer-provided class of policies given a fixed set of training data.
Choosing the policy which maximizes an estimate of return often leads to
over-fitting when only limited data is available, due to the size of the policy
class in relation to the amount of data available. In this work, we focus on
learning policy classes that are appropriately sized to the amount of data
available. We accomplish this by using the principle of Structural Risk
Minimization, from Statistical Learning Theory, which uses Rademacher
complexity to identify a policy class that maximizes a bound on the return of
the best policy in the chosen policy class, given the available data. Unlike
similar batch RL approaches, our bound on return requires only extremely weak
assumptions on the true system
Local Rademacher complexities
We propose new bounds on the error of learning algorithms in terms of a
data-dependent notion of complexity. The estimates we establish give optimal
rates and are based on a local and empirical version of Rademacher averages, in
the sense that the Rademacher averages are computed from the data, on a subset
of functions with small empirical error. We present some applications to
classification and prediction with convex function classes, and with kernel
classes in particular.Comment: Published at http://dx.doi.org/10.1214/009053605000000282 in the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Improved Generalization Bounds for Robust Learning
We consider a model of robust learning in an adversarial environment. The
learner gets uncorrupted training data with access to possible corruptions that
may be affected by the adversary during testing. The learner's goal is to build
a robust classifier that would be tested on future adversarial examples. We use
a zero-sum game between the learner and the adversary as our game theoretic
framework. The adversary is limited to possible corruptions for each input.
Our model is closely related to the adversarial examples model of Schmidt et
al. (2018); Madry et al. (2017).
Our main results consist of generalization bounds for the binary and
multi-class classification, as well as the real-valued case (regression). For
the binary classification setting, we both tighten the generalization bound of
Feige, Mansour, and Schapire (2015), and also are able to handle an infinite
hypothesis class . The sample complexity is improved from
to
. Additionally, we
extend the algorithm and generalization bound from the binary to the multiclass
and real-valued cases. Along the way, we obtain results on fat-shattering
dimension and Rademacher complexity of -fold maxima over function classes;
these may be of independent interest.
For binary classification, the algorithm of Feige et al. (2015) uses a regret
minimization algorithm and an ERM oracle as a blackbox; we adapt it for the
multi-class and regression settings. The algorithm provides us with
near-optimal policies for the players on a given training sample.Comment: Appearing at the 30th International Conference on Algorithmic
Learning Theory (ALT 2019
Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and oracle inequalities in risk minimization'' by V. Koltchinskii
Discussion of ``2004 IMS Medallion Lecture: Local Rademacher complexities and
oracle inequalities in risk minimization'' by V. Koltchinskii [arXiv:0708.0083]Comment: Published at http://dx.doi.org/10.1214/009053606000001055 in the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
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