Loss-Proportional Subsampling for Subsequent ERM


Paul Mineiro, Nikos Karampatziakis ;
Proceedings of the 30th International Conference on Machine Learning, PMLR 28(3):522-530, 2013.


We propose a sampling scheme suitable for reducing a data set prior to selecting a hypothesis with minimum empirical risk. The sampling only considers a subset of the ultimate (unknown) hypothesis set, but can nonetheless guarantee that the final excess risk will compare favorably with utilizing the entire original data set. We demonstrate the practical benefits of our approach on a large dataset which we subsample and subsequently fit with boosted trees.

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