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PAC-Bayesian Bound for the Conditional Value at Risk
Zakaria Mhammedi · Benjamin Guedj · Robert Williamson

Tue Dec 08 09:00 AM -- 11:00 AM (PST) @ Poster Session 1 #522

Conditional Value at Risk (CVaR) is a 'coherent risk measure' which generalizes expectation (reduced to a boundary parameter setting). Widely used in mathematical finance, it is garnering increasing interest in machine learning as an alternate approach to regularization, and as a means for ensuring fairness.
This paper presents a generalization bound for learning algorithms that minimize the CVaR of the empirical loss. The bound is of PAC-Bayesian type and is guaranteed to be small when the empirical CVaR is small. We achieve this by reducing the problem of estimating CVaR to that of merely estimating an expectation. This then enables us, as a by-product, to obtain concentration inequalities for CVaR even when the random variable in question is unbounded.

Author Information

Zakaria Mhammedi (The Australian National University and Data61)
Benjamin Guedj (Inria & University College London)

Benjamin Guedj is a tenured research scientist at Inria since 2014, affiliated to the Lille - Nord Europe research centre in France. He is also affiliated with the mathematics department of the University of Lille. Since 2018, he is a Principal Research Fellow at the Centre for Artificial Intelligence and Department of Computer Science at University College London. He is also a visiting researcher at The Alan Turing Institute. Since 2020, he is the founder and scientific director of The Inria London Programme, a strategic partnership between Inria and UCL as part of a France-UK scientific initiative. He obtained his Ph.D. in mathematics in 2013 from UPMC (Université Pierre & Marie Curie, France) under the supervision of Gérard Biau and Éric Moulines. Prior to that, he was a research assistant at DTU Compute (Denmark). His main line of research is in statistical machine learning, both from theoretical and algorithmic perspectives. He is primarily interested in the design, analysis and implementation of statistical machine learning methods for high dimensional problems, mainly using the PAC-Bayesian theory.

Robert Williamson (ANU)

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