lecture15 - CSE 6740 Lecture 15 What Error Guarantees Can...

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Unformatted text preview: CSE 6740 Lecture 15 What Error Guarantees Can We Make? (Learning Theory and Generalization) Alexander Gray agray@cc.gatech.edu Georgia Institute of Technology CSE 6740 Lecture 15 p. 1/2 8 Today 1. Statistical inequalities (How can we bound values that can appear in the future?) 2. Confidence intervals (How good is the estimation/learning?) CSE 6740 Lecture 15 p. 2/2 8 Statistical inequalities How can we bound values that can appear in the future? CSE 6740 Lecture 15 p. 3/2 8 Markovs Inequality Theorem ( Markovs inequality ): Suppose X is a non-negative random variable and E ( X ) exists. Then for any t > , P ( X > t ) E ( X ) t . (1) CSE 6740 Lecture 15 p. 4/2 8 Markovs Inequality: Proof Since X > , E ( X ) = integraldisplay xf ( x ) dx (2) = integraldisplay t xf ( x ) dx + integraldisplay t xf ( x ) dx (3) integraldisplay t xf ( x ) dx (4) t integraldisplay t f ( x ) dx (5) = t P ( X > t ) . (6) CSE 6740 Lecture 15 p. 5/2 8 Chebyshevs Inequality Theorem ( Chebyshevs inequality ): If = E ( X ) and 2 = V ( X ) , then P ( | X- | t ) 2 t 2 (7) and P parenleftbiggvextendsingle vextendsingle vextendsingle vextendsingle X- vextendsingle vextendsingle vextendsingle vextendsingle u parenrightbigg 1 u 2 (8) (or P ( | Z | u ) 1 u 2 if Z = ( X- ) / ). For example, P ( | Z | > 2) 1 / 4 and P ( | Z | > 3) 1 / 9 . CSE 6740 Lecture 15 p. 6/2 8 Chebyshevs Inequality: Proof Using Markovs inequality, P ( | X- | t ) = P ( | X- | 2 t 2 ) (9) E ( X- ) 2 t 2 (10) = 2 t 2 . (11) The second part follows by setting t = u . CSE 6740 Lecture 15 p. 7/2 8 Chebyshevs Inequality: Example Suppose we test a classifier on a set of N new examples. Let X i = 1 if the prediction is wrong and X i = 0 if it is right; then X N = 1 N N i =1 X i is the observed error rate. Each X i may be regarded as a Bernoulli with unknown mean p ; we would like to estimate this....
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This note was uploaded on 04/03/2010 for the course CSE 6740 taught by Professor Staff during the Fall '08 term at Georgia Institute of Technology.

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lecture15 - CSE 6740 Lecture 15 What Error Guarantees Can...

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