4 papers · 1 filter
Generalization Error Estimation for Primal--Dual Algorithms in Non-Smooth Regression
Kai Tan, Pierre C Bellec
This paper studies trajectory-wise estimation of generalization error for primal--dual algorithms in non-smooth regression. Motivating examples include \(\ell_1\)-penalized least a…
Precise Asymptotics of Bagging Regularized M-estimators
Takuya Koriyama, Pratik Patil, Jin-Hong Du +2
We characterize the squared prediction risk of ensemble estimators obtained through subagging (subsample bootstrap aggregating) regularized M-estimators and construct a consistent…
Estimating Generalization Performance Along the Trajectory of Proximal SGD in Robust Regression
Kai Tan, Pierre C. Bellec
This paper studies the generalization performance of iterates obtained by Gradient Descent (GD), Stochastic Gradient Descent (SGD) and their proximal variants in high-dimensional r…
Corrected generalized cross-validation for finite ensembles of penalized estimators
Pierre C. Bellec, Jin-Hong Du, Takuya Koriyama +2
Generalized cross-validation (GCV) is a widely-used method for estimating the squared out-of-sample prediction risk that employs a scalar degrees of freedom adjustment (in a multip…