Asymptotic sequential Rademacher complexity of a finite function class

DOI10.1007/S00013-016-1002-3MaRDI QIDQ517475zbMATH OpenOpenAlexFDO

Authors D. B. Rokhlin

Publication date 23 March 2017

Published in Archiv der Mathematik (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.03843

zbMATH Keywords

central limit theoremviscosity solutions\(G\)-heat equationsequential Rademacher complexity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Viscosity solutions to PDEs (35D40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: For a finite function class we describe the large sample limit of the sequential Rademacher complexity in terms of the viscosity solution of a $G$-heat equation. In the language of Peng's sublinear expectation theory, the same quantity equals to the expected value of the largest order statistics of a multidimensional $G$-normal random variable. We illustrate this result by deriving upper and lower bounds for the asymptotic sequential Rademacher complexity.

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Cites work

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Cited in

(1)

• Optimal unbiased estimation for maximal distribution

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