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arXiv 1908.11823cs.LGstat.ML
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二元类概率估计的相合性和有限样本性质

Consistency and Finite Sample Behavior of Binary Class Probability Estimation

Delft University of Technology(代尔夫特理工大学);University of Copenhagen(哥本哈根大学)

Alexander Mey, Marco Loog

摘要:

在这项工作中,我们调查在何种程度上可以恢复类概率内的经验风险最小化(ERM)范式。本文的主要目的是推广现有的结果,并强调经验风险最小化和类概率估计之间的紧密联系。基于现有文献中的超额风险界和适当的评分规则,我们得到了一类基于经验风险最小化的概率估计。然后,我们得出相当一般的条件下,这个估计将收敛,在L1-范数和概率,真正的类概率。我们的主要贡献是提出了一种方法来获得有限样本L1收敛速度的估计不同的替代损失函数。我们还详细研究了常用的损失函数是适合于这个估计问题,最后讨论了设置模型误设定以及可能的扩展到非对称损失函数。

英文摘要:

In this work we investigate to which extent one can recover class probabilities within the empirical risk minimization (ERM) paradigm. The main aim of our paper is to extend existing results and emphasize the tight relations between empirical risk minimization and class probability estimation. Based on existing literature on excess risk bounds and proper scoring rules, we derive a class probability estimator based on empirical risk minimization. We then derive fairly general conditions under which this estimator will converge, in the L1-norm and in probability, to the true class probabilities. Our main contribution is to present a way to derive finite sample L1-convergence rates of this estimator for different surrogate loss functions. We also study in detail which commonly used loss functions are suitable for this estimation problem and finally discuss the setting of model-misspecification as well as a possible extension to asymmetric loss functions.

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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