validation
On Optimal Generalizability in Parametric Learning
We consider the parametric learning problem, where the objective of the learner is determined by a parametric loss function. Employing empirical risk minimization with possibly regularization, the inferred parameter vector will be biased toward the training samples. Such bias is measured by the cross validation procedure in practice where the data set is partitioned into a training set used for training and a validation set, which is not used in training and is left to measure the out-of-sample performance. A classical cross validation strategy is the leave-one-out cross validation (LOOCV) where one sample is left out for validation and training is done on the rest of the samples that are presented to the learner, and this process is repeated on all of the samples. LOOCV is rarely used in practice due to the high computational complexity. In this paper, we first develop a computationally efficient approximate LOOCV (ALOOCV) and provide theoretical guarantees for its performance. Then we use ALOOCV to provide an optimization algorithm for finding the regularizer in the empirical risk minimization framework. In our numerical experiments, we illustrate the accuracy and efficiency of ALOOCV as well as our proposed framework for the optimization of the regularizer.
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Appendix A Training details
Models are trained with Stochastic Gradient Descent with momentum equal to 0.9 [ We use a learning rate annealing scheme, decreasing the learning rate by a factor of 0.1 every 30 epochs. We train all models for 150 epochs. Then, we select the best learning rate and weight decay for each method and run 5 different seeds to report mean and standard deviation. We use the validation set of ImageNet to perform cross-validation and report performance on it. In section G we train the Augerino method on top of the Resnet-18 architecture.
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