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

Lecue, Guillaume; Mendelson, Shahar

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

Date

2013

Authors

Lecue, Guillaume

Mendelson, Shahar

Publisher

Gauthier-Villars

Abstract

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