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ilya239 02-19-2013 03:56 PM

optimistic bias of validation set error
 
The lecture showed that error on the validation set underpredicts E_out, because the validation set was used to choose the best model. On the other hand, this error was obtained after training on only a subset of data, which would make the error over-predict E_out. Do these effects cancel out, or is the error determined from the validation set still an under-prediction?

yaser 02-19-2013 04:31 PM

Re: optimistic bias of validation set error
 
Quote:

Originally Posted by ilya239 (Post 9441)
The lecture showed that error on the validation set underpredicts E_out, because the validation set was used to choose the best model. On the other hand, this error was obtained after training on only a subset of data, which would make the error over-predict E_out. Do these effects cancel out, or is the error determined from the validation set still an under-prediction?

They do partially cancel out, but it is difficult to tell analytically which effect wins out.


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