arXiv:2606.19147stat.MLcs.LG2026-06

用置信域评估局部更新风险,确保选择的更新有可靠改进保证。

Cross-Calibrated Confidence Fields for Local Risk Updates

  • 构建上下置信域联合覆盖所有局部更新的风险变化
  • 负的上界端点即证明更新优于当前模型
  • 适用于高维特征空间,对小样本仍有效

如何利用训练数据比较局部更新与当前模型的性能、选择最优更新,并保持所选更新在总体风险上的有效边界?本文构建了下界和上界置信域,联合覆盖可能连续的局部更新空间中每个更新的总体风险变化。这些置信域可用于更新比较与选择;若上界为负,则可确证更新优于参考模型。对于可能无限维特征空间中的线性风险变化,交叉校准利用两个平衡子集间的差异来校准全样本估计误差。在协方差对齐的次高斯尾部、协方差估计稳定性及足够样本量条件下,交叉校准置信域具有有限样本同时覆盖性。置信域的方向宽度由总体岭有效维度决定,而非环境特征维度。对于由有限多个光滑分支连续选择形成的损失函数,分别对线性泰勒场、泰勒余项及分支界面差异建立统一界,将置信域推广至所有局部更新。

原文摘要 · Abstract (English)

How can training data be used to compare local updates to the current model, choose an update, and retain valid bounds for the selected update's population-risk change? We construct lower and upper confidence fields that jointly cover the population-risk change of every update in a possibly continuous local update space. The fields can therefore be used both to compare the updates and to select an update; a negative upper endpoint certifies improvement over the reference model. For linear risk changes in possibly infinite-dimensional feature spaces, cross-calibration uses the discrepancy between two balanced folds to calibrate the full-sample estimation error. Under covariance-aligned sub-Gaussian tails, covariance-estimation stability, and sufficient sample size, the cross-calibrated field has finite-sample simultaneous coverage. The confidence field's directional widths are governed by a population ridge effective dimension rather than the ambient feature dimension. For losses formed locally by continuous selection among finitely many smooth branches, separate uniform bounds for the linear Taylor field, Taylor remainder, and branch-interface discrepancy extend the field to every local update.

风险估计置信域模型更新统计推断

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