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Binary zero-one excess risk with a zero-score error convention

Statement

For a binary supervised problem with the full power-set sigma-algebra on Y∈{−1,+1}, conditional positive-label probability η, and any measurable real-valued score h, use R01(h)=P(Yh(X)≤0) and R01∗=Emin⁡{η(X),1−η(X)}. Then R01(h)−R01∗=2E ⁣[∣η(X)−12∣1{h(X)(η(X)−12)≤0}]+E ⁣[min⁡{η(X),1−η(X)}1{h(X)=0}].

Statement references

Binary surrogate classification risk: fixes η, R01, and R01∗, including the zero-score-is-error convention.

Mohri et al., Lemma 4.5, printed pp. 74–75 (PDF pp. 91–92): the source predicts +1 at zero, and its displayed equality overcounts when h(x)=0 and η(x)>1/2; the corrected zero-score-is-error identity above is proved here.

Facts & Assumptions

Given: A binary supervised problem, its conditional probability function η, and a measurable real-valued score h.

[F1]

For every measurable feature event {X∈A}, P(Y=+1,X∈A)=E[η(X)1{X∈A}]. A finite label has a conditional probability function

[F2]

R01(h) is the population risk of the indicator loss 1{yh≤0}, and R01∗=Emin⁡(η,1−η). Population and empirical risk Binary surrogate classification risk

[F3]

A measurable real-valued function has measurable preimages of Borel intervals, including its sign sets and the threshold set {η≥1/2}. A measurable function between measurable spaces

Proof

1.1F1F2F3givenalgebra

Put A−={x:h(x)≤0} and A+={x:h(x)≥0}, which are measurable by [F3]. The event {Yh(X)≤0} is the disjoint union of {Y=+1,X∈A−} and {Y=−1,X∈A+}. Applying [F1] to A− and using P(X∈A+,Y=−1)=P(X∈A+)−P(X∈A+,Y=+1) gives R01(h)=E[η(X)1A−(X)+(1−η(X))1A+(X)]. Subtracting [F2]'s Bayes-risk integrand reduces the identity to a pointwise comparison for each x.

2.1step 1.1F2algebra

Fix x and abbreviate a=η(x). If a>1/2, then on h(x)>0 the conditional risk is 1−a and the excess is zero; on h(x)<0 it is a, so the excess is 2a−1=2∣a−1/2∣; on h(x)=0 it is 1, so the excess is a=(2a−1)+(1−a). If a<1/2, the same three cases h(x)<0, h(x)>0, and h(x)=0 give excesses 0, 1−2a=2∣a−1/2∣, and 1−a=(1−2a)+a, respectively. If a=1/2, every nonzero score has excess zero and a zero score has excess 1/2. In each case the excess equals 2∣a−1/2∣1{h(x)(a−1/2)≤0}+min⁡(a,1−a)1{h(x)=0}.

3.1step 1.1step 2.1algebra

Integrating the pointwise equality in step 2.1 and using step 1.1 proves the displayed risk identity.

4.1F1F2F3step 3.1algebra∎

The right side of the identity is nonnegative, so every measurable score has risk at least R01∗. Define hB(x)=+1 when η(x)≥1/2 and hB(x)=−1 otherwise. Its two level sets are measurable by [F3]; at each x, its conditional zero-one risk is min⁡{η(x),1−η(x)}, including equality at η=1/2. Thus R01(hB)=R01∗, verifying that the stated Bayes risk is the attained infimum.

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