The generalization performance of ERM algorithm with strongly mixing observations

  • Authors:
  • Bin Zou;Luoqing Li;Zongben Xu

  • Affiliations:
  • Institute for Information and System Science, Faculty of Science, Xi'an Jiaotong University, Xi'an, People's Republic of China 710049 and Faculty of Mathematics and Computer Science, Hubei Univers ...;Faculty of Mathematics and Computer Science, Hubei University, Wuhan, People's Republic of China 430062;Institute for Information and System Science, Faculty of Science, Xi'an Jiaotong University, Xi'an, People's Republic of China 710049

  • Venue:
  • Machine Learning
  • Year:
  • 2009

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Abstract

The generalization performance is the main concern of machine learning theoretical research. The previous main bounds describing the generalization ability of the Empirical Risk Minimization (ERM) algorithm are based on independent and identically distributed (i.i.d.) samples. In order to study the generalization performance of the ERM algorithm with dependent observations, we first establish the exponential bound on the rate of relative uniform convergence of the ERM algorithm with exponentially strongly mixing observations, and then we obtain the generalization bounds and prove that the ERM algorithm with exponentially strongly mixing observations is consistent. The main results obtained in this paper not only extend the previously known results for i.i.d. observations to the case of exponentially strongly mixing observations, but also improve the previous results for strongly mixing samples. Because the ERM algorithm is usually very time-consuming and overfitting may happen when the complexity of the hypothesis space is high, as an application of our main results we also explore a new strategy to implement the ERM algorithm in high complexity hypothesis space.