Empirical Risk Minimization with $f$-Divergence Regularization
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arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866912833369800704 |
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| author | Daunas, Francisco Esnaola, Iñaki Perlaza, Samir M. Poor, H. Vincent |
| author_facet | Daunas, Francisco Esnaola, Iñaki Perlaza, Samir M. Poor, H. Vincent |
| contents | In this paper, the solution to the empirical risk minimization problem with $f$-divergence regularization (ERM-$f$DR) is presented and conditions under which the solution also serves as the solution to the minimization of the expected empirical risk subject to an $f$-divergence constraint are established. The proposed approach extends applicability to a broader class of $f$-divergences than previously reported and yields theoretical results that recover previously known results. Additionally, the difference between the expected empirical risk of the ERM-$f$DR solution and that of its reference measure is characterized, providing insights into previously studied cases of $f$-divergences. A central contribution is the introduction of the normalization function, a mathematical object that is critical in both the dual formulation and practical computation of the ERM-$f$DR solution. This work presents an implicit characterization of the normalization function as a nonlinear ordinary differential equation (ODE), establishes its key properties, and subsequently leverages them to construct a numerical algorithm for approximating the normalization factor under mild assumptions. Further analysis demonstrates structural equivalences between ERM-$f$DR problems with different $f$-divergences via transformations of the empirical risk. Finally, the proposed algorithm is used to compute the training and test risks of ERM-$f$DR solutions under different $f$-divergence regularizers. This numerical example highlights the practical implications of choosing different functions $f$ in ERM-$f$DR problems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_13191 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Empirical Risk Minimization with $f$-Divergence Regularization Daunas, Francisco Esnaola, Iñaki Perlaza, Samir M. Poor, H. Vincent Machine Learning In this paper, the solution to the empirical risk minimization problem with $f$-divergence regularization (ERM-$f$DR) is presented and conditions under which the solution also serves as the solution to the minimization of the expected empirical risk subject to an $f$-divergence constraint are established. The proposed approach extends applicability to a broader class of $f$-divergences than previously reported and yields theoretical results that recover previously known results. Additionally, the difference between the expected empirical risk of the ERM-$f$DR solution and that of its reference measure is characterized, providing insights into previously studied cases of $f$-divergences. A central contribution is the introduction of the normalization function, a mathematical object that is critical in both the dual formulation and practical computation of the ERM-$f$DR solution. This work presents an implicit characterization of the normalization function as a nonlinear ordinary differential equation (ODE), establishes its key properties, and subsequently leverages them to construct a numerical algorithm for approximating the normalization factor under mild assumptions. Further analysis demonstrates structural equivalences between ERM-$f$DR problems with different $f$-divergences via transformations of the empirical risk. Finally, the proposed algorithm is used to compute the training and test risks of ERM-$f$DR solutions under different $f$-divergence regularizers. This numerical example highlights the practical implications of choosing different functions $f$ in ERM-$f$DR problems. |
| title | Empirical Risk Minimization with $f$-Divergence Regularization |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2601.13191 |