Generalization error for multi-class margin classification

Details Generalization error for multi-class margin classification Generalization error for multi-class margin classification

2007-08-27

arxiv.org/abs/0708.3556v1

Electronic Journal of Statistics 2007, Vol. 1, 307-330

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/07-EJS069 in the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by t

Scientific paper

10.1214/07-EJS069

In this article, we study rates of convergence of the generalization error of multi-class margin classifiers. In particular, we develop an upper bound theory quantifying the generalization error of various large margin classifiers. The theory permits a treatment of general margin losses, convex or nonconvex, in presence or absence of a dominating class. Three main results are established. First, for any fixed margin loss, there may be a trade-off between the ideal and actual generalization performances with respect to the choice of the class of candidate decision functions, which is governed by the trade-off between the approximation and estimation errors. In fact, different margin losses lead to different ideal or actual performances in specific cases. Second, we demonstrate, in a problem of linear learning, that the convergence rate can be arbitrarily fast in the sample size $n$ depending on the joint distribution of the input/output pair. This goes beyond the anticipated rate $O(n^{-1})$. Third, we establish rates of convergence of several margin classifiers in feature selection with the number of candidate variables $p$ allowed to greatly exceed the sample size $n$ but no faster than $\exp(n)$.

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