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IDSS Special Seminar

Overcoming Overfitting with Algorithmic Stability

February 23, 2016 @ 2:00 pm

Most applications of machine learning across science and industry rely on the holdout method for model selection and validation. Unfortunately, the holdout method often fails in the now common scenario where the analyst works interactively with the data, iteratively choosing which methods to use by probing the same holdout data many times. In this talk, we apply the principle of algorithmic stability to design reusable holdout methods, which can be used many times without losing the guarantees of fresh data. Applications include a model benchmarking tool that detects and prevents overfitting at scale. We conclude with a bird’s eye view of what algorithmic stability says about machine learning at large, including new insights into stochastic gradient descent, the most popular optimization method in contemporary machine learning.

MIT Statistics + Data Science Center
Massachusetts Institute of Technology
77 Massachusetts Avenue
Cambridge, MA 02139-4307