PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Surrogate Regret Bounds for Proper Losses
Mark Reid and Bob Williamson
In: ICML 2009, Montreal(2009).


We present tight surrogate regret bounds for the class of proper (i.e., Fisher consistent) losses. The bounds generalise the margin-based bounds due to Bartlett et al. (2006). The proof uses Taylor’s theorem and leads to new representations for loss and regret and a simple proof of the integral representation of proper losses. We also present a different formulation of a duality result of Bregman divergences which leads to a simple demonstration of the convexity of composite losses using canonical link functions

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EPrint Type:Conference or Workshop Item (Paper)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:8977
Deposited By:Bob Williamson
Deposited On:21 February 2012