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Surrogate regret bounds for proper losses

Reid, Mark; Williamson, Robert


We present tight surrogate regret bounds for the class of proper (i.e., Fisher consistent) losses. The bounds generalise the margin-based bounds due to Bartlett et al. (2006). The proof uses Taylor's theorem and leads to new representations for loss and regret and a simple proof of the integral representation of proper losses. We also present a different formulation of a duality result of Bregman divergences which leads to a simple demonstration of the convexity of composite losses using...[Show more]

CollectionsANU Research Publications
Date published: 2009
Type: Conference paper
Source: Proceedings of The 26th Annual International Conference on Machine Learning (ICML-2009)
DOI: 10.1145/1553374.1553489


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