Conditional Risk Minimization for Stochastic Processes

Abstract: We study the task of learning from non-i.i.d. data. In particular, we aim at learning predictors that minimize the conditional risk for a stochastic process, i.e. the expected loss of the predictor on the next point conditioned on the set of training samples observed so far. For non-i.i.d. data, the training set contains information about the upcoming samples, so learning with respect to the conditional distribution can be expected to yield better predictors than one obtains from the classical setting of minimizing the marginal risk. Our main contribution is a practical estimator for the conditional risk based on the theory of non-parametric time-series prediction, and a finite sample concentration bound that establishes uniform convergence of the estimator to the true conditional risk under certain regularity assumptions on the process.