Probability inequalities applied to bounding expected loss of classifiers

## Inequalities applied to bounding expected loss of classifiers

I returned to reading on Probability Inequalities that I started weeks ago with Markov's and Chebyshev's inequalities. Reminding myself,

Inequalities are useful for bounding quantities that might otherwise be hard to compute.

I was excited to find a concrete link between this reading and some of the decision theory I dived into and took some notes on last week.

We can model training data as a series of IID samples drawn from a joint distribution:

$$ (X_1, Y_1), ... (X_n, Y_n) \sim P_{X,Y} $$

and a classifier as a function $\hat{Y} = f(X)$. The expected loss of the classifier is:

$$ \sum_{y \neq \hat{y}} p(y|x) $$

and the empirical risk on our training set to be:

$$ \frac{1}{n} \sum_{y \neq \hat{y}} 1 $$

e.g the fraction of times our classifier is wrong on our training set. What can we say about the true error rate of our classifier?

We can think of each sample from our training set as a Bernoulli trial (a coin flip) with unknown mean $p$. The true mean would tell us our true error rate, and the probability that any given sample is misclassified. What we do know is the observed or sample mean $\bar{X}_n$ noted above.

We can use probability inequalities to help us here! First let's use Chebyshev's inequality:

$$ P(|X - \mu| \geq t) \leq \frac{\sigma^2}{t^2} $$

we can apply this to reason about how likely our sample mean $\bar{X}_n$ is to be within some bound $\epsilon$ of $p$:

$$ P(|\bar{X}_n - p| > \epsilon) \leq \frac{V(\bar{X}_n)}{\epsilon^2} = \frac{p(1-p)}{n\epsilon^2} \leq \frac{1}{4n\epsilon^2} $$

since $p(1-p) \leq \frac{1}{4}$ for all $p$. So for instance, say we have 100 samples, and wish to know how likely the observed error rate is within 20% of the true error rate, we plug in $\epsilon =0.2$ and $n=100$ to get a bound of $0.0625$.

This is kind of neat. We can state with certainty the bounds of the true error rate of our classifier.

### Hoeffding's Inequality

Hoeffding's inequality as applied to a Bernoulli random variable provides a tighter bound than Chebyshev's:

$$ P(|\bar{X}_n - p| > \epsilon) \leq 2e^{-2n\epsilon^2} $$

(note this is proven in an appendix in all of statistics as well on the wikipedia page)

plugging in the same parameters, we get

$$ P(|\bar{X}_n - p| > 0.2) \leq 2e^{-2(100)(0.2)^2} = 0.00067 $$

so with a 100 samples, we can be pretty damn certain that the observed error rate is within 20% of the true error rate.