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arXiv · 1710.07732

A Tight Excess Risk Bound via a Unified PAC-Bayesian-Rademacher-Shtarkov-MDL Complexity

Peter D. Grünwald·Nishant A. Mehta
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Abstract

We present a novel notion of complexity that interpolates between and generalizes some classic existing complexity notions in learning theory: for estimators like empirical risk minimization (ERM) with arbitrary bounded losses, it is upper bounded in terms of data-independent Rademacher complexity; for generalized Bayesian estimators, it is upper bounded by the data-dependent information complexity (also known as stochastic or PAC-Bayesian, $\mathrm{KL}(\text{posterior} \operatorname{\|} \text{prior})$ complexity. For (penalized) ERM, the new complexity reduces to (generalized) normalized maximum likelihood (NML) complexity, i.e. a minimax log-loss individual-sequence regret. Our first main result bounds excess risk in terms of the new complexity. Our second main result links the new complexity via Rademacher complexity to $L_2(P)$ entropy, thereby generalizing earlier results of Opper, Haussler, Lugosi, and Cesa-Bianchi who did the log-loss case with $L_\infty$. Together, these results recover optimal bounds for VC- and large (polynomial entropy) classes, replacing localized Rademacher complexity by a simpler analysis which almost completely separates the two aspects that determine the achievable rates: 'easiness' (Bernstein) conditions and model complexity.

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Peter D. Grünwald, Nishant A. Mehta. 2017-10-21. A Tight Excess Risk Bound via a Unified PAC-Bayesian-Rademacher-Shtarkov-MDL Complexity. https://arxiv.org/abs/1710.07732

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