This paper analyzes the generalization of minimax regret optimization(MRO)under distribution shift.A new learning framework is proposed by injecting the measure of con-ditional value at risk(CVaR)into MRO,and its gene...This paper analyzes the generalization of minimax regret optimization(MRO)under distribution shift.A new learning framework is proposed by injecting the measure of con-ditional value at risk(CVaR)into MRO,and its generalization error bound is established through the lens of uniform convergence analysis.The CVaR-based MRO can achieve the polynomial decay rate on the excess risk,which extends the generalization analysis associated with the expected risk to the risk-averse case.展开更多
基金Supported by Education Science Planning Project of Hubei Province(2020GB198)Natural Science Foundation of Hubei Province(2023AFB523).
文摘This paper analyzes the generalization of minimax regret optimization(MRO)under distribution shift.A new learning framework is proposed by injecting the measure of con-ditional value at risk(CVaR)into MRO,and its generalization error bound is established through the lens of uniform convergence analysis.The CVaR-based MRO can achieve the polynomial decay rate on the excess risk,which extends the generalization analysis associated with the expected risk to the risk-averse case.
