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Convexity of Proper Composite Binary Losses

Reid, Mark; Williamson, Robert


A composite loss assigns a penalty to a real-valued prediction by associating the prediction with a probability via a link function then applying a class probability estimation (CPE) loss. If the risk for a composite loss is always minimised by predicting the value associated with the true class probability the composite loss is proper. We provide a novel, explicit and complete characterisation of the convexity of any proper composite loss in terms of its link and its \weight function"...[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Conference paper
Source: Proceedings of The 13th International Conference on Artificial Intelligence and Statistics(AISTATS-2010)


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