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Sample Variance Penalization

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Most of the time, supervised machine learning is done by optimizing the average loss on the training set, i.e. empirical risk minimization, perhaps with a (usually not data-dependent) regularization term added in. However, there was a nice paper a couple of years back by Maurer and Pontil introducing Sample Variance Penalization. The basic idea is to optimize a combination of…
Original post: Sample Variance Penalization
Source: Machined Learnings