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Machine Learning in Non-Stationary EnvironmentsIntroduction to Covariate Shift Adaptation$
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Masashi Sugiyama and Motoaki Kawanabe

Print publication date: 2012

Print ISBN-13: 9780262017091

Published to MIT Press Scholarship Online: September 2013

DOI: 10.7551/mitpress/9780262017091.001.0001

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Model Selection

Model Selection

Chapter:
(p.46) (p.47) 3 Model Selection
Source:
Machine Learning in Non-Stationary Environments
Author(s):

Masashi Sugiyama

Motoaki Kawanabe

Publisher:
The MIT Press
DOI:10.7551/mitpress/9780262017091.003.0003

This chapter addresses the problem of model selection. The success of machine learning techniques depends heavily on the choice of hyperparameters such as basis functions, the kernel bandwidth, the regularization parameter, and the importance-flattening parameter. Thus, model selection is one of the most fundamental and crucial topics in machine learning. Standard model selection schemes such as the Akaike information criterion, cross-validation, and the subspace information criterion have their own theoretical justification in terms of the unbiasedness as generalization error estimators. However, such theoretical guarantees are no longer valid under covariate shift. The chapter introduces their modified variants using importance-weighting techniques, and shows that the modified methods are properly unbiased even under covariate shift. The usefulness of these modified model selection criteria is illustrated through numerical experiments.

Keywords:   machine learning, model selection, importance-weighting techniques, Akaike information criterion, covariate shift

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