Tighter Generalisation Bounds via Interpolation

This paper contains a recipe for deriving new PAC-Bayes generalisation bounds based on the $(f, \Gamma)$-divergence, and, in addition, presents PAC-Bayes generalisation bounds where we interpolate between a series of probability divergences (including but not limited to KL, Wasserstein, and total variation), making the best out of many worlds depending on the posterior distributions properties. We explore the tightness of these bounds and connect them to earlier results from statistical learning, which are specific cases. We also instantiate our bounds …

bayes cs.lg divergence making paper posterior probability recipe series stat.ml total variation via