Learning without Concentration for General Loss Functions

Abstract: We study prediction and estimation problems using empirical risk minimization, relative to a general convex loss function. We obtain sharp error rates even when concentration is false or is very restricted, for example, in heavy-tailed scenarios. Our results show that the error rate depends on two parameters: one captures the intrinsic complexity of the class, and essentially leads to the error rate in a noise-free (or realizable) problem; the other measures interactions between class members the target and the loss, and is dominant when the problem is far from realizable. We also explain how one may deal with outliers by choosing the loss in a way that is calibrated to the intrinsic complexity of the class and to the noise-level of the problem (the latter is measured by the distance between the target and the class).