All your loss are belong to Bayes

Christian Walder, Richard Nock

Poster Session 7 (more posters)
on 2020-12-10T21:00:00-08:00 - 2020-12-10T23:00:00-08:00
GatherTown: Probabilistic Methods and Inference ( Town A0 - Spot C2 )
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Abstract: Loss functions are a cornerstone of machine learning and the starting point of most algorithms. Statistics and Bayesian decision theory have contributed, via properness, to elicit over the past decades a wide set of admissible losses in supervised learning, to which most popular choices belong (logistic, square, Matsushita, etc.). Rather than making a potentially biased ad hoc choice of the loss, there has recently been a boost in efforts to fit the loss to the domain at hand while training the model itself. The key approaches fit a canonical link, a function which monotonically relates the closed unit interval to R and can provide a proper loss via integration. In this paper, we rely on a broader view of proper composite losses and a recent construct from information geometry, source functions, whose fitting alleviates constraints faced by canonical links. We introduce a trick on squared Gaussian Processes to obtain a random process whose paths are compliant source functions with many desirable properties in the context of link estimation. Experimental results demonstrate substantial improvements over the state of the art.

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