Learning theory approach to minimum error entropy criterion

  • Authors:
  • Ting Hu;Jun Fan;Qiang Wu;Ding-Xuan Zhou

  • Affiliations:
  • School of Mathematics and Statistics, Wuhan University, Wuhan, China;Department of Mathematics, City University of Hong Kong, Kowloon, Hong Kong, China;Department of Mathematical Sciences, Middle Tennessee State University, Murfreesboro, TN;Department of Mathematics, City University of Hong Kong, Kowloon, Hong Kong, China

  • Venue:
  • The Journal of Machine Learning Research
  • Year:
  • 2013

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Abstract

We consider the minimum error entropy (MEE) criterion and an empirical risk minimization learning algorithm when an approximation of Rényi's entropy (of order 2) by Parzen windowing is minimized. This learning algorithm involves a Parzen windowing scaling parameter. We present a learning theory approach for this MEE algorithm in a regression setting when the scaling parameter is large. Consistency and explicit convergence rates are provided in terms of the approximation ability and capacity of the involved hypothesis space. Novel analysis is carried out for the generalization error associated with Rényi's entropy and a Parzen windowing function, to overcome technical difficulties arising from the essential differences between the classical least squares problems and the MEE setting. An involved symmetrized least squares error is introduced and analyzed, which is related to some ranking algorithms.