Wednesday, November 29, 2023 - 17:00 in V4-116
Local convergence rates for nonparametric least squares with > applications to transfer learning under covariate shift
A talk in the Oberseminar Wahrscheinlichkeitstheorie series by
Petr Zamolodtchikov
| Abstract: |
Convergence properties of empirical risk minimizers can be conveniently expressed in terms of the associated population risk. To derive bounds for the performance of the estimator under covariate shift, however, pointwise convergence rates are required. Under weak assumptions on the design distribution, it is shown that least squares estimators (LSE) over $1$-Lipschitz functions are also minimax rate optimal with respect to a weighted uniform norm, where the weighting accounts in a natural way for the non-uniformity of the design distribution. This implies that although least squares is a global criterion, the LSE adapts locally to the size of the design density. We develop a new indirect proof technique that establishes the local convergence behavior based on a carefully chosen local perturbation of the LSE. The obtained local rates are then applied to analyze the LSE for transfer learning under covariate shift.
Within the CRC this talk is associated to the project(s): B10 |
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