Supervised learning: no loss no cry
Abstract
Supervised learning requires the specification of a loss function to minimise. While the theory of admissible losses from both a computational and statistical perspective is well-developed, these offer a panoply of different choices. In practice, this choice is typically made in an \emph{ad hoc} manner. In hopes of making this procedure more principled, the problem of \emph{learning the loss function} for a downstream task (e.g., classification) has garnered recent interest. However, works in this area have been generally empirical in nature. In this paper, we revisit the {\sc SLIsotron} algorithm of Kakade et al. (2011) through a novel lens, derive a generalisation based on Bregman divergences, and show how it provides a principled procedure for learning the loss. In detail, we cast {\sc SLIsotron} as learning a loss from a family of composite square losses. By interpreting this through the lens of \emph{proper losses}, we derive a generalisation of {\sc SLIsotron} based on Bregman divergences. The resulting {\sc BregmanTron} algorithm jointly learns the loss along with the classifier. It comes equipped with a simple guarantee of convergence for the loss it learns, and its set of possible outputs comes with a guarantee of agnostic approximability of Bayes rule. Experiments indicate that the {\sc BregmanTron} significantly outperforms the {\sc SLIsotron}, and that the loss it learns can be minimized by other algorithms for different tasks, thereby opening the interesting problem of \emph{loss transfer} between domains.
BibTeX
@InProceedings{pmlr-v119-nock20a,
title = {Supervised learning: no loss no cry},
author = {Nock, Richard and Menon, Aditya},
booktitle = {Proceedings of the 37th International Conference on Machine Learning},
pages = {7370--7380},
year = {2020},
editor = {III, Hal Daumé and Singh, Aarti},
volume = {119},
series = {Proceedings of Machine Learning Research},
month = {13--18 Jul},
publisher = {PMLR},
pdf = {http://proceedings.mlr.press/v119/nock20a/nock20a.pdf},
url = {https://proceedings.mlr.press/v119/nock20a.html},
abstract = {Supervised learning requires the specification of a loss function to minimise. While the theory of admissible losses from both a computational and statistical perspective is well-developed, these offer a panoply of different choices. In practice, this choice is typically made in an \emph{ad hoc} manner. In hopes of making this procedure more principled, the problem of \emph{learning the loss function} for a downstream task (e.g., classification) has garnered recent interest. However, works in this area have been generally empirical in nature. In this paper, we revisit the {\sc SLIsotron} algorithm of Kakade et al. (2011) through a novel lens, derive a generalisation based on Bregman divergences, and show how it provides a principled procedure for learning the loss. In detail, we cast {\sc SLIsotron} as learning a loss from a family of composite square losses. By interpreting this through the lens of \emph{proper losses}, we derive a generalisation of {\sc SLIsotron} based on Bregman divergences. The resulting {\sc BregmanTron} algorithm jointly learns the loss along with the classifier. It comes equipped with a simple guarantee of convergence for the loss it learns, and its set of possible outputs comes with a guarantee of agnostic approximability of Bayes rule. Experiments indicate that the {\sc BregmanTron} significantly outperforms the {\sc SLIsotron}, and that the loss it learns can be minimized by other algorithms for different tasks, thereby opening the interesting problem of \emph{loss transfer} between domains.}
}