Paper detail

The Generalization Error of Supervised Machine Learning Algorithms

In this paper, the method of gaps, a technique for deriving closed-form expressions in terms of information measures for the generalization error of supervised machine learning algorithms is introduced. The method relies on the notion of \emph{gaps}, which characterize the variation of the expected empirical risk (when either the model or dataset is kept fixed) with respect to changes in the probability measure on the varying parameter (either the dataset or the model, respectively). This distinction results in two classes of gaps: Algorithm-driven gaps (fixed dataset) and data-driven gaps (fixed model). In general, the method relies on two central observations: $(i)$~The generalization error is the expectation of an algorithm-driven gap or a data-driven gap. In the first case, the expectation is with respect to a measure on the datasets; and in the second case, with respect to a measure on the models. $(ii)$~Both, algorithm-driven gaps and data-driven gaps exhibit closed-form expressions in terms of relative entropies. In particular, algorithm-driven gaps involve a Gibbs probability measure on the set of models, which represents a supervised Gibbs algorithm. Alternatively, data-driven gaps involve a worst-case data-generating (WCDG) probability measure on the set of data points, which is also a Gibbs probability measure. Interestingly, such Gibbs measures, which are exogenous to the analysis of generalization, place both the supervised Gibbs algorithm and the WCDG probability measure as natural references for the analysis of supervised learning algorithms. All existing exact expressions for the generalization error of supervised machine learning algorithms can be obtained with the proposed method. Also, this method allows obtaining numerous new exact expressions, which allows establishing connections with other areas in statistics.