Universal Batch Learning with Log-Loss
Yaniv Fogel, Meir Feder · 2018
In this paper we consider the problem of batch learning with log-loss, in a stochastic setting where given the data features, the outcome is generated by an unknown distribution from a class of models. Utilizing the minimax theorem and information-theoretical tools, we came up with the minimax universal learning solution, a redundancy capacity theorem and an upper bound on the performance of the optimal solution. The resulting universal learning solution is a mixture over the models in the considered class. Furthermore, we get a better bound on the generalization error that decays as O(logN/N), where N is the sample size, instead of O(√logN/N) which is commonly attained in statistical learning theory for the empirical risk minimizer.