Performance of empirical risk minimization in linear aggregation
نویسنده
چکیده
Let (X ,μ) be a probability space, set X to be distributed according to μ and put Y to be an unknown target random variable. In the usual setup in learning theory, one observes N independent couples (Xi, Yi)Ni=1 in X × R, distributed according to the joint distribution of X and Y . The goal is to construct a real-valued function f which is a good guess/prediction of Y . A standard way of measuring the prediction capability of f is via the risk R(f )= E(Y − f (X))2. The conditional expectation
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