PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Information, Divergence and Risk for Binary Experiments
Mark Reid and Bob Williamson
Journal of Machine Learning Research Volume 12, pp. 731-817, 2009.


We unify f-divergences, Bregman divergences, surrogate loss bounds (regret bounds), proper scoring rules, matching losses, cost curves, ROC-curves and information. We do this by systematically studying integral and variational representations of these objects and in so doing identify their primitives which all are related to cost-sensitive binary classi cation. As well as clarifying relationships between generative and discriminative views of learning, the new machinery leads to tight and more general surrogate loss bounds and generalised Pinsker inequalities relating f-divergences to variational divergence. The new viewpoint illuminates existing algorithms: it provides a new derivation of Support Vector Machines in terms of divergences and relates Maximum Mean Discrepancy to Fisher Linear Discriminants. It also suggests new techniques for estimating f-divergences.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
ID Code:8996
Deposited By:Wray Buntine
Deposited On:21 February 2012