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Near-Optimal Bounds for Cross-Validation via Loss Stability

2020-03-02 | |  52 |   49 |   0

Abstract

Multi-fold cross-validation is an established practice to estimate the error rate of a learning algorithm. Quantifying the variance reduction gains due to cross-validation has been challenging due to the inherent correlations introduced by the folds. In this work we introduce a new and weak measure called loss stability and relate the cross-validation performance to this measure; we also establish that this relationship is near-optimal. Our work thus quantitatively improves the current best bounds on cross-validation.

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