Local Minimax Learning of Functions With Best Finite Sample Estimation Error Bounds: Applications to Ridge and Lasso Regression, Boosting, Tree Learning, Kernel Machines, and Inverse Problems

Optimal local estimation is formulated in the minimax sense for inverse problems and nonlinear regression. This theory provides best mean squared finite sample error bounds for some popular statistical learning algorithms and also for several optimal improvements of other existing learning algorithm...

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Veröffentlicht in:IEEE transactions on information theory Jg. 55; H. 12; S. 5700 - 5727
1. Verfasser: Jones, L.K.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: New York, NY IEEE 01.12.2009
Institute of Electrical and Electronics Engineers
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
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Abstract Optimal local estimation is formulated in the minimax sense for inverse problems and nonlinear regression. This theory provides best mean squared finite sample error bounds for some popular statistical learning algorithms and also for several optimal improvements of other existing learning algorithms such as smoothing splines and kernel regularization. The bounds and improved algorithms are not based on asymptotics or Bayesian assumptions and are truly local for each query, not depending on cross validating estimates at other queries to optimize modeling parameters. Results are given for optimal local learning of approximately linear functions with side information (context) using real algebraic geometry. In particular, finite sample error bounds are given for ridge regression and for a local version of lasso regression. The new regression methods require only quadratic programming with linear or quadratic inequality constraints for implementation. Greedy additive expansions are then combined with local minimax learning via a change in metric. An optimal strategy is presented for fusing the local minimax estimators of a class of experts-providing optimal finite sample prediction error bounds from (random) forests. Local minimax learning is extended to kernel machines. Best local prediction error bounds for finite samples are given for Tikhonov regularization. The geometry of reproducing kernel Hilbert space is used to derive improved estimators with finite sample mean squared error (MSE) bounds for class membership probability in two class pattern classification problems. A purely local, cross validation free algorithm is proposed which uses Fisher information with these bounds to determine best local kernel shape in vector machine learning. Finally, a locally quadratic solution to the finite Fourier moments problem is presented. After reading the first three sections the reader may proceed directly to any of the subsequent applications sections.
AbstractList Optimal local estimation is formulated in the minimax sense for inverse problems and nonlinear regression. This theory provides best mean squared finite sample error bounds for some popular statistical learning algorithms and also for several optimal improvements of other existing learning algorithms such as smoothing splines and kernel regularization. The bounds and improved algorithms are not based on asymptotics or Bayesian assumptions and are truly local for each query, not depending on cross validating estimates at other queries to optimize modeling parameters. Results are given for optimal local learning of approximately linear functions with side information (context) using real algebraic geometry. In particular, finite sample error bounds are given for ridge regression and for a local version of lasso regression. The new regression methods require only quadratic programming with linear or quadratic inequality constraints for implementation. Greedy additive expansions are then combined with local minimax learning via a change in metric. An optimal strategy is presented for fusing the local minimax estimators of a class of experts-providing optimal finite sample prediction error bounds from (random) forests. Local minimax learning is extended to kernel machines. Best local prediction error bounds for finite samples are given for Tikhonov regularization. The geometry of reproducing kernel Hilbert space is used to derive improved estimators with finite sample mean squared error (MSE) bounds for class membership probability in two class pattern classification problems. A purely local, cross validation free algorithm is proposed which uses Fisher information with these bounds to determine best local kernel shape in vector machine learning. Finally, a locally quadratic solution to the finite Fourier moments problem is presented. After reading the first three sections the reader may proceed directly to any of the subsequent applications sections.
Optimal local estimation is formulated in the minimax sense for inverse problems and nonlinear regression. This theory provides best mean squared finite sample error bounds for some popular statistical learning algorithms and also for several optimal improvements of other existing learning algorithms such as smoothing splines and kernel regularization. The bounds and improved algorithms are not based on asymptotics or Bayesian assumptions and are truly local for each query, not depending on cross validating estimates at other queries to optimize modeling parameters. Results are given for optimal local learning of approximately linear functions with side information (context) using real algebraic geometry. In particular, finite sample error bounds are given for ridge regression and for a local version of lasso regression. The new regression methods require only quadratic programming with linear or quadratic inequality constraints for implementation. Greedy additive expansions are then combined with local minimax learning via a change in metric. An optimal strategy is presented for fusing the local minimax estimators of a class of experts - providing optimal finite sample prediction error bounds from (random) forests. Local minimax learning is extended to kernel machines. Best local prediction error bounds for finite samples are given for Tikhonov regularization. The geometry of reproducing kernel Hilbert space is used to derive improved estimators with finite sample mean squared error (MSE) bounds for class membership probability in two class pattern classification problems. A purely local, cross validation free algorithm is proposed which uses Fisher information with these bounds to determine best local kernel shape in vector machine learning. Finally, a locally quadratic solution to the finite Fourier moments problem is presented. After reading the first three sections the reader may proceed directly to any of the subsequent applications sections. [PUBLICATION ABSTRACT]
Author Jones, L.K.
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Issue 12
Keywords Query
Optimal estimation
Modeling
Implementation
Spline
Mean square error
Learning
Optimal strategy
Hilbert space
Learning algorithm
minimax
Estimation error
Smoothing methods
Non linear regression
ridge regression
Regression analysis
Pattern recognition
Quadratic programming
reproducing kernel
Kernel method
Inverse problem
Pattern classification
Minimax method
Metric
Fusion
Algebraic geometry
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SubjectTerms Algorithms
Applied sciences
Boosting
Errors
Estimating techniques
Estimation error
Exact sciences and technology
Fusion
Information geometry
Information theory
Information, signal and communications theory
inverse problem
Inverse problems
Kernel
Learning
Machine learning
Mathematical analysis
Mathematical models
minimax
Minimax technique
Minimax techniques
Parameter optimization
Pattern recognition
Regression analysis
Regression tree analysis
reproducing kernel
ridge regression
Samples
Signal processing
Smoothing methods
Statistical analysis
Statistical learning
Statistical methods
Telecommunications and information theory
Validity
Title Local Minimax Learning of Functions With Best Finite Sample Estimation Error Bounds: Applications to Ridge and Lasso Regression, Boosting, Tree Learning, Kernel Machines, and Inverse Problems
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