Solved – How is True risk equal to the expected value of the empirical risk

machine learningrisk

We know that the empirical risk is :
$L_s = \frac{1}{n} \sum_{i=1}^{n} l(f(x_i),z_i)$

where, $n$ = number of samples,$l(f(x),z)$ is a loss function, $S = (z_1,…,z_n)$ are the provided samples to test\train on, $f(x_i)$ is the output of a learning algorithm and $z_i \in Z $ is $(x_i, y_i)$

Some current literature like this (page 3 section 3.2), indicate that the true risk to be the expected value with respect to joint distribution of $n$ samples.
$L_\mu = E_{Z^n}[L_s]$ $_{(1)}$

I do not understand how can the true risk be just the expected value of the empirical risk

This is how far I got :

We know that true risk is defined as :
$L_u = \int l(f(x),z) dP(x,y) $

Now to write it in a summation form I can assume $n$ to be arbitrarily large, $L_u = \frac{1}{n} \sum_{i=1}^{n} l(f(x_i),z_i).P(x_i,y_i)$ $_{(2)}$

Now have no idea about the next step to reconcile equation $(2)$ and $(1)$

Best Answer

You don't need to assume $n$ to be arbitrarily large. It's just linearity of expectation:$\DeclareMathOperator{\E}{\mathbb E}$ \begin{align} \E[\text{empirical risk}] &= \E\left[ \frac1n \sum_{i=1}^n l(f(x_i), z_i) \right] \\&= \frac1n \sum_{i=1}^n \E\left[ l(f(x_i), z_i) \right] \\&= \frac1n \sum_{i=1}^n \int l(f(x_i), z_i) \,\mathrm{d}P(x_i, z_i) \\&= \frac1n \sum_{i=1}^n \text{true risk} \\&= \text{true risk} .\end{align}

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