SDSC6001 Assignment 1: Covering-Number Generalization Bound

Problem: Prove a covering-number bound and verify it by simulation

Background (given)

Let H\mathcal{H} be a family of functions mapping X\mathcal{X} to YR\mathcal{Y} \subseteq \mathbb{R}. We consider the squared loss

(h(x),y)=(h(x)y)2\ell(h(x), y) = (h(x) - y)^2

Let DD be an unknown distribution over X×Y\mathcal{X} \times \mathcal{Y}. For hHh \in \mathcal{H}, define the true risk and empirical risk:

R(h)=E(x,y)D[(h(x)y)2],R^S(h)=1mi=1m(h(xi)yi)2R(h) = \mathbb{E}_{(x,y)\sim D}[(h(x) - y)^2], \quad \hat{R}_S(h) = \frac{1}{m}\sum_{i=1}^{m}(h(x_i) - y_i)^2

where S=((x1,y1),,(xm,ym))DmS = ((x_1, y_1), \ldots, (x_m, y_m)) \sim D^m is an i.i.d. sample.

Assume H\mathcal{H} is bounded: there exists M>0M > 0 such that

h(x)yMfor all (x,y)X×Y and all hH|h(x) - y| \leq M \quad \text{for all } (x, y) \in \mathcal{X} \times \mathcal{Y} \text{ and all } h \in \mathcal{H}

Covering number (sup norm). For ε>0\varepsilon > 0, the covering number N(H,ε)\mathcal{N}(\mathcal{H}, \varepsilon) under \|\cdot\|_\infty is the smallest kk such that there exist h1,,hkHh_1, \ldots, h_k \in \mathcal{H} satisfying: for every hHh \in \mathcal{H}, there exists iki \leq k with

hhi=supxXh(x)hi(x)ε\|h - h_i\|_\infty = \sup_{x \in \mathcal{X}} |h(x) - h_i(x)| \leq \varepsilon

Similar to VC dimension, covering numbers provides a measurement of complexity of a class of functions: the larger the covering number, the richer is the family of functions. The objective of this problem is to illustrate this by proving a learning bound in the case of the squared loss.

Target bound (to prove)

Prove the following generalization bound:

PSDm[suphHR(h)R^S(h)ε]N(H,ε8M)2exp(mε22M4)()\mathbb{P}_{S\sim D^m}\left[\sup_{h\in\mathcal{H}}|R(h) - \hat{R}_S(h)| \geq \varepsilon\right] \leq \mathcal{N}\left(\mathcal{H}, \frac{\varepsilon}{8M}\right) \cdot 2\exp\left(-\frac{m\varepsilon^2}{2M^4}\right) \quad (\star)


Part I: Proof

Let LS(h)=R(h)R^S(h)L_S(h) = R(h) - \hat{R}_S(h).


Problem 1 (20%): Lipschitz step

Problem Statement: Show that for all h1,h2Hh_1, h_2 \in \mathcal{H} and any sample SS,

LS(h1)LS(h2)4Mh1h2|L_S(h_1) - L_S(h_2)| \leq 4M \|h_1 - h_2\|_\infty

Hint: Use a2b2=(ab)(a+b)a^2 - b^2 = (a-b)(a+b) and boundedness by MM.


Proof:

First, we analyze the Lipschitz property of R(h)R(h) and R^S(h)\hat{R}_S(h) with respect to hh separately.

Step 1: Analyze R(h1)R(h2)|R(h_1) - R(h_2)|

R(h1)R(h2)=E(x,y)D[(h1(x)y)2(h2(x)y)2]R(h_1) - R(h_2) = \mathbb{E}_{(x,y)\sim D}[(h_1(x) - y)^2 - (h_2(x) - y)^2]

Using the identity a2b2=(ab)(a+b)a^2 - b^2 = (a-b)(a+b), let a=h1(x)ya = h_1(x) - y and b=h2(x)yb = h_2(x) - y:

(h1(x)y)2(h2(x)y)2=(h1(x)h2(x))((h1(x)y)+(h2(x)y))(h_1(x) - y)^2 - (h_2(x) - y)^2 = (h_1(x) - h_2(x))((h_1(x) - y) + (h_2(x) - y))

Therefore:

R(h1)R(h2)=E(x,y)D[(h1(x)h2(x))((h1(x)y)+(h2(x)y))]|R(h_1) - R(h_2)| = \left|\mathbb{E}_{(x,y)\sim D}[(h_1(x) - h_2(x))((h_1(x) - y) + (h_2(x) - y))]\right|

By the boundedness assumption hi(x)yM|h_i(x) - y| \leq M, we have:

  • h1(x)h2(x)h1h2|h_1(x) - h_2(x)| \leq \|h_1 - h_2\|_\infty

  • (h1(x)y)+(h2(x)y)h1(x)y+h2(x)y2M|(h_1(x) - y) + (h_2(x) - y)| \leq |h_1(x) - y| + |h_2(x) - y| \leq 2M

Therefore:

R(h1)R(h2)E[h1h22M]=2Mh1h2|R(h_1) - R(h_2)| \leq \mathbb{E}[\|h_1 - h_2\|_\infty \cdot 2M] = 2M\|h_1 - h_2\|_\infty

Step 2: Analyze R^S(h1)R^S(h2)|\hat{R}_S(h_1) - \hat{R}_S(h_2)|

R^S(h1)R^S(h2)=1mi=1m[(h1(xi)yi)2(h2(xi)yi)2]\hat{R}_S(h_1) - \hat{R}_S(h_2) = \frac{1}{m}\sum_{i=1}^{m}[(h_1(x_i) - y_i)^2 - (h_2(x_i) - y_i)^2]

Similarly using a2b2=(ab)(a+b)a^2 - b^2 = (a-b)(a+b):

=1mi=1m(h1(xi)h2(xi))((h1(xi)yi)+(h2(xi)yi))= \frac{1}{m}\sum_{i=1}^{m}(h_1(x_i) - h_2(x_i))((h_1(x_i) - y_i) + (h_2(x_i) - y_i))

Taking absolute value:

R^S(h1)R^S(h2)1mi=1mh1(xi)h2(xi)2M|\hat{R}_S(h_1) - \hat{R}_S(h_2)| \leq \frac{1}{m}\sum_{i=1}^{m}|h_1(x_i) - h_2(x_i)| \cdot 2M

1mi=1mh1h22M=2Mh1h2\leq \frac{1}{m}\sum_{i=1}^{m}\|h_1 - h_2\|_\infty \cdot 2M = 2M\|h_1 - h_2\|_\infty

Step 3: Combine the results

LS(h1)LS(h2)=R(h1)R^S(h1)R(h2)+R^S(h2)|L_S(h_1) - L_S(h_2)| = |R(h_1) - \hat{R}_S(h_1) - R(h_2) + \hat{R}_S(h_2)|

R(h1)R(h2)+R^S(h1)R^S(h2)\leq |R(h_1) - R(h_2)| + |\hat{R}_S(h_1) - \hat{R}_S(h_2)|

2Mh1h2+2Mh1h2=4Mh1h2\leq 2M\|h_1 - h_2\|_\infty + 2M\|h_1 - h_2\|_\infty = 4M\|h_1 - h_2\|_\infty


Problem 2 (15%): Union bound over a cover

Problem Statement: If H=i=1kBi\mathcal{H} = \bigcup_{i=1}^{k} B_i, show that

P[suphHLS(h)ε]i=1kP[suphBiLS(h)ε]\mathbb{P}\left[\sup_{h\in\mathcal{H}}|L_S(h)| \geq \varepsilon\right] \leq \sum_{i=1}^{k}\mathbb{P}\left[\sup_{h\in B_i}|L_S(h)| \geq \varepsilon\right]


Proof:

Define event A={suphHLS(h)ε}A = \{\sup_{h\in\mathcal{H}}|L_S(h)| \geq \varepsilon\} and Ai={suphBiLS(h)ε}A_i = \{\sup_{h\in B_i}|L_S(h)| \geq \varepsilon\}.

Step 1: Show that Ai=1kAiA \subseteq \bigcup_{i=1}^{k} A_i

Suppose event AA occurs, i.e., there exists hHh^* \in \mathcal{H} such that LS(h)ε|L_S(h^*)| \geq \varepsilon.

Since H=i=1kBi\mathcal{H} = \bigcup_{i=1}^{k} B_i, there exists some j{1,,k}j \in \{1, \ldots, k\} such that hBjh^* \in B_j.

Therefore suphBjLS(h)LS(h)ε\sup_{h\in B_j}|L_S(h)| \geq |L_S(h^*)| \geq \varepsilon, which means AjA_j occurs.

So Ai=1kAiA \subseteq \bigcup_{i=1}^{k} A_i.

Step 2: Apply the union bound

By monotonicity of probability and the union bound:

P[A]P[i=1kAi]i=1kP[Ai]\mathbb{P}[A] \leq \mathbb{P}\left[\bigcup_{i=1}^{k} A_i\right] \leq \sum_{i=1}^{k}\mathbb{P}[A_i]

That is:

P[suphHLS(h)ε]i=1kP[suphBiLS(h)ε]\mathbb{P}\left[\sup_{h\in\mathcal{H}}|L_S(h)| \geq \varepsilon\right] \leq \sum_{i=1}^{k}\mathbb{P}\left[\sup_{h\in B_i}|L_S(h)| \geq \varepsilon\right]


Problem 3 (25%): From cover to finite set + concentration

Problem Statement: Let k=N(H,ε/(8M))k = \mathcal{N}(\mathcal{H}, \varepsilon/(8M)), and let h1,,hkh_1, \ldots, h_k be centers of \|\cdot\|_\infty balls of radius ε/(8M)\varepsilon/(8M) that cover H\mathcal{H}. Use the Lipschitz step to prove that for each ii,

P[suphB(hi,ε/(8M))LS(h)ε]P[LS(hi)ε2]\mathbb{P}\left[\sup_{h\in B_\infty(h_i, \varepsilon/(8M))}|L_S(h)| \geq \varepsilon\right] \leq \mathbb{P}\left[|L_S(h_i)| \geq \frac{\varepsilon}{2}\right]

Then apply a concentration inequality (e.g. Hoeffding) to bound P(LS(hi)ε/2)\mathbb{P}(|L_S(h_i)| \geq \varepsilon/2) and conclude ()(\star).

Important: Clearly define the random variables you apply Hoeffding to, and justify the bounded range needed for the inequality.


Proof:

Step 1: Use Lipschitz property

Let hB(hi,ε/(8M))h \in B_\infty(h_i, \varepsilon/(8M)), i.e., hhiε/(8M)\|h - h_i\|_\infty \leq \varepsilon/(8M).

By the Lipschitz result from Problem 1:

LS(h)LS(hi)4Mhhi4Mε8M=ε2|L_S(h) - L_S(h_i)| \leq 4M\|h - h_i\|_\infty \leq 4M \cdot \frac{\varepsilon}{8M} = \frac{\varepsilon}{2}

Step 2: Upper bound transformation

For any hB(hi,ε/(8M))h \in B_\infty(h_i, \varepsilon/(8M)):

LS(h)LS(hi)+LS(h)LS(hi)LS(hi)+ε2|L_S(h)| \leq |L_S(h_i)| + |L_S(h) - L_S(h_i)| \leq |L_S(h_i)| + \frac{\varepsilon}{2}

Therefore:

suphB(hi,ε/(8M))LS(h)LS(hi)+ε2\sup_{h\in B_\infty(h_i, \varepsilon/(8M))}|L_S(h)| \leq |L_S(h_i)| + \frac{\varepsilon}{2}

Step 3: Probability bound

If suphB(hi,ε/(8M))LS(h)ε\sup_{h\in B_\infty(h_i, \varepsilon/(8M))}|L_S(h)| \geq \varepsilon, then:

LS(hi)+ε2ε    LS(hi)ε2|L_S(h_i)| + \frac{\varepsilon}{2} \geq \varepsilon \implies |L_S(h_i)| \geq \frac{\varepsilon}{2}

Therefore:

P[suphB(hi,ε/(8M))LS(h)ε]P[LS(hi)ε2]\mathbb{P}\left[\sup_{h\in B_\infty(h_i, \varepsilon/(8M))}|L_S(h)| \geq \varepsilon\right] \leq \mathbb{P}\left[|L_S(h_i)| \geq \frac{\varepsilon}{2}\right]

Step 4: Apply Hoeffding’s inequality

Define random variables:

Zj=(hi(xj)yj)2E[(hi(x)y)2],j=1,,mZ_j = (h_i(x_j) - y_j)^2 - \mathbb{E}[(h_i(x) - y)^2], \quad j = 1, \ldots, m

Then Z1,,ZmZ_1, \ldots, Z_m are i.i.d. random variables with E[Zj]=0\mathbb{E}[Z_j] = 0.

Note that:

LS(hi)=R(hi)R^S(hi)=E[(hi(x)y)2]1mj=1m(hi(xj)yj)2=1mj=1mZjL_S(h_i) = R(h_i) - \hat{R}_S(h_i) = \mathbb{E}[(h_i(x) - y)^2] - \frac{1}{m}\sum_{j=1}^{m}(h_i(x_j) - y_j)^2 = -\frac{1}{m}\sum_{j=1}^{m}Z_j

Determine the bounded range of ZjZ_j:

Since hi(x)yM|h_i(x) - y| \leq M, we have:

0(hi(x)y)2M20 \leq (h_i(x) - y)^2 \leq M^2

Therefore (hi(xj)yj)2[0,M2](h_i(x_j) - y_j)^2 \in [0, M^2], and E[(hi(x)y)2][0,M2]\mathbb{E}[(h_i(x) - y)^2] \in [0, M^2].

So:

Zj[M2,M2]Z_j \in [-M^2, M^2]

The range of ZjZ_j is 2M22M^2.

Apply Hoeffding’s inequality:

For bounded independent random variables Z1,,ZmZ_1, \ldots, Z_m where Zj[aj,bj]Z_j \in [a_j, b_j], Hoeffding’s inequality gives:

P[1mj=1mZjt]2exp(2m2t2j=1m(bjaj)2)\mathbb{P}\left[\left|\frac{1}{m}\sum_{j=1}^{m}Z_j\right| \geq t\right] \leq 2\exp\left(-\frac{2m^2t^2}{\sum_{j=1}^{m}(b_j - a_j)^2}\right)

In our case, bjaj=2M2b_j - a_j = 2M^2, so:

P[LS(hi)ε2]=P[1mj=1mZjε2]\mathbb{P}\left[|L_S(h_i)| \geq \frac{\varepsilon}{2}\right] = \mathbb{P}\left[\left|\frac{1}{m}\sum_{j=1}^{m}Z_j\right| \geq \frac{\varepsilon}{2}\right]

2exp(2m2(ε/2)2m(2M2)2)=2exp(2m2ε2/4m4M4)=2exp(mε28M4)\leq 2\exp\left(-\frac{2m^2(\varepsilon/2)^2}{m(2M^2)^2}\right) = 2\exp\left(-\frac{2m^2 \cdot \varepsilon^2/4}{m \cdot 4M^4}\right) = 2\exp\left(-\frac{m\varepsilon^2}{8M^4}\right)

We obtain:

P[LS(hi)ε2]2exp(mε22M4)\mathbb{P}\left[|L_S(h_i)| \geq \frac{\varepsilon}{2}\right] \leq 2\exp\left(-\frac{m\varepsilon^2}{2M^4}\right)

Step 5: Combine to obtain the final bound

By the union bound from Problem 2, with Bi=B(hi,ε/(8M))B_i = B_\infty(h_i, \varepsilon/(8M)) covering H\mathcal{H}:

P[suphHLS(h)ε]i=1kP[suphBiLS(h)ε]\mathbb{P}\left[\sup_{h\in\mathcal{H}}|L_S(h)| \geq \varepsilon\right] \leq \sum_{i=1}^{k}\mathbb{P}\left[\sup_{h\in B_i}|L_S(h)| \geq \varepsilon\right]

i=1kP[LS(hi)ε2]k2exp(mε22M4)\leq \sum_{i=1}^{k}\mathbb{P}\left[|L_S(h_i)| \geq \frac{\varepsilon}{2}\right] \leq k \cdot 2\exp\left(-\frac{m\varepsilon^2}{2M^4}\right)

=N(H,ε8M)2exp(mε22M4)= \mathcal{N}\left(\mathcal{H}, \frac{\varepsilon}{8M}\right) \cdot 2\exp\left(-\frac{m\varepsilon^2}{2M^4}\right)


Part II: Simulation verification (40%, open design)

In this part, you will design your own simulation to empirically estimate the LHS probability in ()(\star) and compare it with the RHS bound.

Experimental Setup

Hypothesis Class: Clipped Linear Functions

Domain and Range:

  • X=[0,1]\mathcal{X} = [0, 1]

  • Y=[1,1]\mathcal{Y} = [-1, 1]

Hypothesis Class: Clipped linear functions

H={hw:w[1,1]},hw(x)=clip(wx,1,1)\mathcal{H} = \{h_w : w \in [-1, 1]\}, \quad h_w(x) = \text{clip}(wx, -1, 1)

where clip(z,1,1)=max(1,min(1,z))\text{clip}(z, -1, 1) = \max(-1, \min(1, z)).

Data Distribution DD:

  • xUniform(0,1)x \sim \text{Uniform}(0, 1)

  • y=clip(0.5x+η,1,1)y = \text{clip}(0.5x + \eta, -1, 1), where ηN(0,0.12)\eta \sim \mathcal{N}(0, 0.1^2)

Boundedness Constant MM

For x[0,1]x \in [0, 1] and w[1,1]w \in [-1, 1]:

  • hw(x)[1,1]h_w(x) \in [-1, 1]

  • y[1,1]y \in [-1, 1]

Therefore:

hw(x)yhw(x)+y1+1=2|h_w(x) - y| \leq |h_w(x)| + |y| \leq 1 + 1 = 2

We set M=2M = 2.

Covering Number Calculation

For w1,w2[1,1]w_1, w_2 \in [-1, 1], consider hw1hw2\|h_{w_1} - h_{w_2}\|_\infty.

In the non-clipping region, for x[0,1]x \in [0, 1]:

hw1(x)hw2(x)=w1xw2x=w1w2xw1w2|h_{w_1}(x) - h_{w_2}(x)| = |w_1 x - w_2 x| = |w_1 - w_2| \cdot x \leq |w_1 - w_2|

The maximum is achieved at x=1x = 1 (when no clipping occurs):

hw1hw2w1w2\|h_{w_1} - h_{w_2}\|_\infty \leq |w_1 - w_2|

To ensure hw1hw2r\|h_{w_1} - h_{w_2}\|_\infty \leq r, we need w1w2r|w_1 - w_2| \leq r.

Therefore, covering [1,1][-1, 1] with a grid of spacing rr requires:

N(H,r)2r+1\mathcal{N}(\mathcal{H}, r) \leq \left\lceil \frac{2}{r} \right\rceil + 1

For r=ε/(8M)=ε/16r = \varepsilon/(8M) = \varepsilon/16:

N(H,ε16)32ε+1\mathcal{N}\left(\mathcal{H}, \frac{\varepsilon}{16}\right) \leq \left\lceil \frac{32}{\varepsilon} \right\rceil + 1

Experimental Parameters

Parameter Value
Sample size grid mm [50, 100, 200, 500, 1000, 2000, 5000]
Error grid ε\varepsilon [0.1, 0.2, 0.3, 0.5]
Monte Carlo trials TT 1000
Test set size (for true risk estimation) 50000
Hypothesis class discretization 201 uniformly spaced ww values in [1,1][-1, 1]
Random seed 42
Python version 3.9+

True Risk Estimation

We approximate R(h)R(h) using a large independent test set (50,000 samples):

R(h)1ntesti=1ntest(h(xitest)yitest)2R(h) \approx \frac{1}{n_{test}}\sum_{i=1}^{n_{test}}(h(x_i^{test}) - y_i^{test})^2

A test set of 50,000 samples is sufficiently large to control the estimation error.

Experimental Results

After running the code, we obtain the following results (see simulation.py for details):

Results Table

Comparison of empirical probability p^(m,ε)\hat{p}(m, \varepsilon) and theoretical bound RHS for different (m,ε)(m, \varepsilon) combinations:

mm ε\varepsilon p^(m,ε)\hat{p}(m,\varepsilon) RHS (Theoretical Bound) RHS > 1?
50 0.10 0.3070 6.32e+02 Yes
100 0.10 0.1590 6.22e+02 Yes
200 0.10 0.0320 6.03e+02 Yes
500 0.10 0.0000 5.49e+02 Yes
1000 0.10 0.0000 4.70e+02 Yes
50 0.20 0.0490 3.02e+02 Yes
100 0.20 0.0050 2.84e+02 Yes
5000 0.20 0.0000 0.6216 No
50 0.30 0.0030 1.88e+02 Yes
2000 0.30 0.0000 0.7790 No
5000 0.30 0.0000 0.0002 No
1000 0.50 0.0000 0.0526 No

Covering Numbers:

  • ε=0.1\varepsilon = 0.1: N(H,0.0063)=321\mathcal{N}(\mathcal{H}, 0.0063) = 321

  • ε=0.2\varepsilon = 0.2: N(H,0.0125)=161\mathcal{N}(\mathcal{H}, 0.0125) = 161

  • ε=0.3\varepsilon = 0.3: N(H,0.0187)=108\mathcal{N}(\mathcal{H}, 0.0187) = 108

  • ε=0.5\varepsilon = 0.5: N(H,0.0312)=65\mathcal{N}(\mathcal{H}, 0.0312) = 65

SDSC6001_comparison_plot

covering_analysis