A RELATIONSHIP BETWEEN CROSS-VALIDATION AND VAPNIK BOUNDS ON GENERALIZATION OF LEARNING MACHINES

Typically, the n-fold cross-validation is used both to: (1) estimate the generalization properties of a model of fixed complexity, (2) choose from a family of models of different complexities, the one with the best complexity, given a data set of certain size. Obviously, it is a time-consuming procedure. A different approach - the Structural Risk Minimization is based on generalization bounds of learning machines given by Vapnik (Vapnik, 1995a; Vapnik, 1995b). Roughly speaking, SRM is O(n) times faster than n-fold cross-validation but less accurate. We state and prove theorems, which show the probabilistic relationship between the two approaches. In particular, we show what epsilon-difference between the two, one may expect without actually performing the cross validation. We conclude the paper with results of experiments confronting the probabilistic bounds we derived.