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Journal Articles Journal of Machine Learning Research Year : 2021

Aggregated Hold-Out

Abstract

Aggregated hold-out (Agghoo) is a method which averages learning rules selected by hold-out (that is, cross-validation with a single split). We provide the first theoretical guarantees on Agghoo, ensuring that it can be used safely: Agghoo performs at worst like the hold-out when the risk is convex. The same holds true in classification with the 0-1 risk, with an additional constant factor. For the hold-out, oracle inequalities are known for bounded losses, as in binary classification. We show that similar results can be proved, under appropriate assumptions, for other risk-minimization problems. In particular, we obtain an oracle inequality for regularized kernel regression with a Lip-schitz loss, without requiring that the Y variable or the regressors be bounded. Numerical experiments show that aggregation brings a significant improvement over the hold-out and that Agghoo is competitive with cross-validation.
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Dates and versions

hal-02273193 , version 1 (09-09-2019)

Identifiers

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Guillaume Maillard, Sylvain Arlot, Matthieu Lerasle. Aggregated Hold-Out. Journal of Machine Learning Research, 2021, 22 (20), pp.1--55. ⟨hal-02273193⟩
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