Surrogate Regret Bounds for Proper Losses

author: Mark Reid, Research School of Information Sciences and Engineering, Australian National University
published: Aug. 26, 2009,   recorded: June 2009,   views: 85
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Description

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 demonstration of the convexity of composite losses using canonical link functions.

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