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Old 02-19-2013, 03:56 PM
ilya239 ilya239 is offline
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Question 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?
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Old 02-19-2013, 04:31 PM
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yaser yaser is offline
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Default Re: optimistic bias of validation set error

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Originally Posted by ilya239 View Post
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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