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arXiv 1004.2316cs.LG
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贝叶斯交叉验证的渐近等价性与广义信息准则

Asymptotic Equivalence of Bayes Cross Validation and Widely Applicable Information Criterion in Singular Learning Theory

Tokyo Institute of Technology(东京工业大学)

Sumio Watanabe

摘要:

在常规统计模型中,留一交叉验证渐进等效于赤池信息准则。然而,由于许多学习机是奇异统计模型,交叉验证的渐近行为仍然未知。在以往的研究中,我们建立了奇异学习理论,并提出了一个广泛适用的信息准则,其期望值渐近等于平均贝叶斯推广损失。本文从理论上比较了贝叶斯交叉验证损失和广泛适用的信息准则,证明了两个定理。首先,贝叶斯交叉验证损失作为随机变量渐近等价于广泛适用的信息准则。因此,使用这两个值的模型选择和超参数优化是渐近等价的。其次,贝叶斯泛化误差和贝叶斯交叉验证误差之和渐近等于$2λ/n$,其中$λ$是实对数规范阈值,$n$是训练样本的数量。因此,交叉验证误差和泛化误差之间的关系由学习机的代数几何结构决定。我们还澄清了偏差信息准则不同于贝叶斯交叉验证和广泛适用的信息准则。

英文摘要:

In regular statistical models, the leave-one-out cross-validation is asymptotically equivalent to the Akaike information criterion. However, since many learning machines are singular statistical models, the asymptotic behavior of the cross-validation remains unknown. In previous studies, we established the singular learning theory and proposed a widely applicable information criterion, the expectation value of which is asymptotically equal to the average Bayes generalization loss. In the present paper, we theoretically compare the Bayes cross-validation loss and the widely applicable information criterion and prove two theorems. First, the Bayes cross-validation loss is asymptotically equivalent to the widely applicable information criterion as a random variable. Therefore, model selection and hyperparameter optimization using these two values are asymptotically equivalent. Second, the sum of the Bayes generalization error and the Bayes cross-validation error is asymptotically equal to $2λ/n$, where $λ$ is the real log canonical threshold and $n$ is the number of training samples. Therefore the relation between the cross-validation error and the generalization error is determined by the algebraic geometrical structure of a learning machine. We also clarify that the deviance information criteria are different from the Bayes cross-validation and the widely applicable information criterion.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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