Small Sample Inference for Generalization Error in Classification Using the CUD Bound
Eric Laber, Susan Murphy
Abstract:
Confidence measures for the generalization error are crucial when small training samples are used to construct classifiers. A common approach is to estimate the generalization error by resampling and then assume the resampled estimator follows a known distribution to form a confidence set [Kohavi 1995, Martin 1996,Yang 2006]. Alternatively, one might bootstrap the resampled estimator of the generalization error to form a confidence set. Unfortunately, these methods do not reliably provide sets of the desired confidence. The poor performance appears to be due to the lack of smoothness of the generalization error as a function of the learned classifier. This results in a nonnormal distribution of the estimated generalization error. We construct a confidence set for the generalization error by use of a smooth upper bound on the deviation between the resampled estimate and generalization error. The confidence set is formed by bootstrapping this upper bound. In cases in which the approximation class for the classifier can be represented as a parametric additive model, we provide a computationally efficient algorithm. This method exhibits superior performance across a series of test and simulated data sets.
Keywords: null
Pages: 357365
PS Link:
PDF Link: /papers/08/p357laber.pdf
BibTex:
@INPROCEEDINGS{Laber08,
AUTHOR = "Eric Laber
and Susan Murphy",
TITLE = "Small Sample Inference for Generalization Error in Classification Using the CUD Bound",
BOOKTITLE = "Proceedings of the TwentyFourth Conference Annual Conference on Uncertainty in Artificial Intelligence (UAI08)",
PUBLISHER = "AUAI Press",
ADDRESS = "Corvallis, Oregon",
YEAR = "2008",
PAGES = "357365"
}

