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On the optimality of the empirical risk minimization procedure for the convex aggregation problem

Lecue, Guillaume; Mendelson, Shahar


We study the performance of empirical risk minimization (ERM), with respect to the quadratic risk, in the context of convex aggregation, in which one wants to construct a procedure whose risk is as close as possible to the best function in the convex hull

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
Source: Annales de l Institut Henri Poincare B: Probability and Statistics
DOI: 10.1214/11-AIHP458


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