More PAC-Bayes bounds: From bounded losses, to losses with general tail behaviors, to anytime validity

Borja Rodríguez-Gálvez, Ragnar Thobaben, Mikael Skoglund

In this paper, we present new high-probability PAC-Bayes bounds for different types of losses. Firstly, for losses with a bounded range, we recover a strengthened version of Catoni…