Towards Optimal Problem Dependent Generalization Error Bounds in Statistical Learning Theory

• URL: http://arxiv.org/abs/2011.06186v4
• Date: Thu, 24 Dec 2020 03:10:54 GMT
• Title: Towards Optimal Problem Dependent Generalization Error Bounds in Statistical Learning Theory
• Authors: Yunbei Xu, Assaf Zeevi
• Abstract summary: We study problem-dependent rates that scale near-optimally with the variance, the effective loss errors, or the norms evaluated at the "best gradient hypothesis" We introduce a principled framework dubbed "uniform localized convergence" We show that our framework resolves several fundamental limitations of existing uniform convergence and localization analysis approaches.
• Score: 11.840747467007963
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We study problem-dependent rates, i.e., generalization errors that scale near-optimally with the variance, the effective loss, or the gradient norms evaluated at the "best hypothesis." We introduce a principled framework dubbed "uniform localized convergence," and characterize sharp problem-dependent rates for central statistical learning problems. From a methodological viewpoint, our framework resolves several fundamental limitations of existing uniform convergence and localization analysis approaches. It also provides improvements and some level of unification in the study of localized complexities, one-sided uniform inequalities, and sample-based iterative algorithms. In the so-called "slow rate" regime, we provides the first (moment-penalized) estimator that achieves the optimal variance-dependent rate for general "rich" classes; we also establish improved loss-dependent rate for standard empirical risk minimization. In the "fast rate" regime, we establish finite-sample problem-dependent bounds that are comparable to precise asymptotics. In addition, we show that iterative algorithms like gradient descent and first-order Expectation-Maximization can achieve optimal generalization error in several representative problems across the areas of non-convex learning, stochastic optimization, and learning with missing data.

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