Aggregation via empirical risk minimization

被引：0

作者：

Guillaume Lecué

Shahar Mendelson

机构：

[1] The Australian National University,Centre for Mathematics and its Applications

[2] Technion,Department of Mathematics

[3] I.I.T,undefined

来源：

Probability Theory and Related Fields | 2009年 / 145卷

关键词：

62G08; 62C12;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Given a finite set F of estimators, the problem of aggregation is to construct a new estimator whose risk is as close as possible to the risk of the best estimator in F. It was conjectured that empirical minimization performed in the convex hull of F is an optimal aggregation method, but we show that this conjecture is false. Despite that, we prove that empirical minimization in the convex hull of a well chosen, empirically determined subset of F is an optimal aggregation method.

引用

页码：591 / 613

页数：22

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