提出一种新方法,精确计算监督学习的泛化误差。
The Method of Gaps: Exact Expressions for the Generalization Error of Supervised Learning Algorithms
- 基于'差距'概念,区分算法和数据驱动的误差来源。
- 泛化误差可表示为相对熵的闭式表达,涉及吉布斯分布。
- 揭示泛化与信息论、假设检验间的深层联系,适合理论研究者。
本文引入一种名为'差距法'的新技术,用于推导监督学习算法泛化误差的闭式表达式。该方法基于'差距'概念,刻画在固定模型或数据集时,期望经验风险随概率测度变化的差异,分为算法驱动差距(固定数据集)和数据驱动差距(固定模型)。核心观察为:泛化误差是算法驱动差距或数据驱动差距的期望,分别对数据集或模型上的测度取期望。两类差距均可表示为相对熵的闭式形式:前者涉及模型空间上的吉布斯测度(对应监督吉布斯算法),后者涉及数据点空间上的最坏情况生成测度(WCDG),同样是吉布斯测度。这些外生引入的吉布斯测度自然成为分析监督学习算法的参照系。该方法可推导出所有已知及新的泛化误差精确表达式,其意义在于结构性与概念性,而非计算效率。这些表达式揭示了泛化、假设检验、信息度量与毕达哥拉斯恒等式之间的深刻关联。
原文摘要 · Abstract (English)
In this paper, the method of gaps, a technique for deriving closed-form expressions in terms of information measures for the generalization error of supervised learning algorithms, is introduced. This method relies on the notion of gaps, which characterize the variation of the expected empirical risk (when either the model or dataset is kept fixed) with respect to changes in the probability measure on the varying parameter. This distinction results in two classes of gaps: algorithm-driven gaps (fixed dataset) and data-driven gaps (fixed model). The method relies on two central observations: (i) the generalization error is the expectation of an algorithm-driven gap or a data-driven gap. In the first case, the expectation is with respect to a measure on the datasets; in the second case, it is with respect to a measure on the models. (ii) Both algorithm-driven gaps and data-driven gaps exhibit closed-form expressions in terms of relative entropies. In particular, algorithm-driven gaps involve a Gibbs probability measure on the set of models, which represents a supervised Gibbs algorithm. Alternatively, data-driven gaps involve a worst-case data-generating (WCDG) probability measure on the set of data points, which is also a Gibbs probability measure. Interestingly, such Gibbs measures, which are exogenous to the analysis of generalization, place the supervised Gibbs algorithm and the WCDG probability measure as natural references for the analysis of supervised learning algorithms. New exact expressions and all existing exact expressions for the generalization error of supervised learning algorithms can be obtained with the proposed method. Such new expressions are intended as structural and conceptual characterizations, not computational shortcuts. Finally, these expressions unveil strong connections among generalization, hypothesis testing, information measures, and Pythagorean identities.
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