Why Averaging Classifiers can Protect Against Overfitting
Proceedings of the Eighth International Workshop on Artificial Intelligence and Statistics, PMLR R3:98-105, 2001.
We study a simple learning algorithm for binary classification. Instead of predicting with the best hypothesis in the hypothesis class, this algorithm predicts with a weighted average of all hypotheses, weighted exponentially with respect to their training error. We show that the prediction of this algorithm is much more stable than the prediction of an algorithm that predicts with the best hypothesis. By allowing the algorithm to abstain from predicting on some examples, we show that the predictions it makes when it does not abstain are very reliable. Finally, we show that the probability that the algorithm abstains is comparable to the generalization error of the best hypothesis in the class.