Realizable $H$-Consistent and Bayes-Consistent Loss Functions for Learning to Defer

We present a comprehensive study of surrogate loss functions for learning to defer. We introduce a broad family of surrogate losses, parameterized by a non-increasing function $\Psi$, and establish their realizable $H$-consistency under mild conditions. For cost functions based on classification error, we further show that these losses admit $H$-consistency bounds when the hypothesis set is symmetric and complete, a property satisfied by common neural network and linear function hypothesis sets. Our results also resolve an open question raised in previous work (Mozannar et al., 2023) by proving the realizable $H$-consistency and Bayes-consistency of a specific surrogate loss. Furthermore, we identify choices of $\Psi$ that lead to $H$-consistent surrogate losses for any general cost function, thus achieving Bayes-consistency, realizable $H$-consistency, and $H$-consistency bounds simultaneously. We also investigate the relationship between $H$-consistency bounds and realizable $H$-consistency in learning to defer, highlighting key differences from standard classification. Finally, we empirically evaluate our proposed surrogate losses and compare them with existing baselines.

Enhanced $H$-Consistency Bounds

Recent research has introduced a key notion of $H$-consistency bounds for surrogate losses. These bounds offer finite-sample guarantees, quantifying the relationship between the zero-one estimation error (or other target loss) and the surrogate loss estimation error for a specific hypothesis set. However, previous bounds were derived under the condition that a lower bound of the surrogate loss conditional regret is given as a convex function of the target conditional regret, without non-constant factors depending on the predictor or input instance. Can we derive finer and more favorable $H$-consistency bounds? In this work, we relax this condition and present a general framework for establishing enhanced $H$-consistency bounds based on more general inequalities relating conditional regrets. Our theorems not only subsume existing results as special cases but also enable the derivation of more favorable bounds in various scenarios. These include standard multi-class classification, binary and multi-class classification under Tsybakov noise conditions, and bipartite ranking.

Multi-Label Learning with Stronger Consistency Guarantees

We present a detailed study of surrogate losses and algorithms for multi-label learning, supported by $H$-consistency bounds. We first show that, for the simplest form of multi-label loss (the popular Hamming loss), the well-known consistent binary relevance surrogate suffers from a sub-optimal dependency on the number of labels in terms of $H$-consistency bounds, when using smooth losses such as logistic losses. Furthermore, this loss function fails to account for label correlations. To address these drawbacks, we introduce a novel surrogate loss, multi-label logistic loss, that accounts for label correlations and benefits from label-independent $H$-consistency bounds. We then broaden our analysis to cover a more extensive family of multi-label losses, including all common ones and a new extension defined based on linear-fractional functions with respect to the confusion matrix. We also extend our multi-label logistic losses to more comprehensive multi-label comp-sum losses, adapting comp-sum losses from standard classification to the multi-label learning. We prove that this family of surrogate losses benefits from $H$-consistency bounds, and thus Bayes-consistency, across any general multi-label loss. Our work thus proposes a unified surrogate loss framework benefiting from strong consistency guarantees for any multi-label loss, significantly expanding upon previous work which only established Bayes-consistency and for specific loss functions. Additionally, we adapt constrained losses from standard classification to multi-label constrained losses in a similar way, which also benefit from $H$-consistency bounds and thus Bayes-consistency for any multi-label loss. We further describe efficient gradient computation algorithms for minimizing the multi-label logistic loss.

Cardinality-Aware Set Prediction and Top-$k$ Classification

We present a detailed study of cardinality-aware top-$k$ classification, a novel approach that aims to learn an accurate top-$k$ set predictor while maintaining a low cardinality. We introduce a new target loss function tailored to this setting that accounts for both the classification error and the cardinality of the set predicted. To optimize this loss function, we propose two families of surrogate losses: cost-sensitive comp-sum losses and cost-sensitive constrained losses. Minimizing these loss functions leads to new cardinality-aware algorithms that we describe in detail in the case of both top-$k$ and threshold-based classifiers. We establish $H$-consistency bounds for our cardinality-aware surrogate loss functions, thereby providing a strong theoretical foundation for our algorithms. We report the results of extensive experiments on CIFAR-10, CIFAR-100, ImageNet, and SVHN datasets demonstrating the effectiveness and benefits of our cardinality-aware algorithms.

A Universal Growth Rate for Learning with Smooth Surrogate Losses

This paper presents a comprehensive analysis of the growth rate of $H$-consistency bounds (and excess error bounds) for various surrogate losses used in classification. We prove a square-root growth rate near zero for smooth margin-based surrogate losses in binary classification, providing both upper and lower bounds under mild assumptions. This result also translates to excess error bounds. Our lower bound requires weaker conditions than those in previous work for excess error bounds, and our upper bound is entirely novel. Moreover, we extend this analysis to multi-class classification with a series of novel results, demonstrating a universal square-root growth rate for smooth comp-sum and constrained losses, covering common choices for training neural networks in multi-class classification. Given this universal rate, we turn to the question of choosing among different surrogate losses. We first examine how $H$-consistency bounds vary across surrogates based on the number of classes. Next, ignoring constants and focusing on behavior near zero, we identify minimizability gaps as the key differentiating factor in these bounds. Thus, we thoroughly analyze these gaps, to guide surrogate loss selection, covering: comparisons across different comp-sum losses, conditions where gaps become zero, and general conditions leading to small gaps. Additionally, we demonstrate the key role of minimizability gaps in comparing excess error bounds and $H$-consistency bounds.

$H$-Consistency Guarantees for Regression

We present a detailed study of $H$-consistency bounds for regression. We first present new theorems that generalize the tools previously given to establish $H$-consistency bounds. This generalization proves essential for analyzing $H$-consistency bounds specific to regression. Next, we prove a series of novel $H$-consistency bounds for surrogate loss functions of the squared loss, under the assumption of a symmetric distribution and a bounded hypothesis set. This includes positive results for the Huber loss, all $\ell_p$ losses, $p \geq 1$, the squared $\epsilon$-insensitive loss, as well as a negative result for the $\epsilon$-insensitive loss used in squared Support Vector Regression (SVR). We further leverage our analysis of $H$-consistency for regression and derive principled surrogate losses for adversarial regression (Section 5). This readily establishes novel algorithms for adversarial regression, for which we report favorable experimental results in Section 6.

Regression with Multi-Expert Deferral

Learning to defer with multiple experts is a framework where the learner can choose to defer the prediction to several experts. While this problem has received significant attention in classification contexts, it presents unique challenges in regression due to the infinite and continuous nature of the label space. In this work, we introduce a novel framework of regression with deferral, which involves deferring the prediction to multiple experts. We present a comprehensive analysis for both the single-stage scenario, where there is simultaneous learning of predictor and deferral functions, and the two-stage scenario, which involves a pre-trained predictor with a learned deferral function. We introduce new surrogate loss functions for both scenarios and prove that they are supported by $H$-consistency bounds. These bounds provide consistency guarantees that are stronger than Bayes consistency, as they are non-asymptotic and hypothesis set-specific. Our framework is versatile, applying to multiple experts, accommodating any bounded regression losses, addressing both instance-dependent and label-dependent costs, and supporting both single-stage and two-stage methods. A by-product is that our single-stage formulation includes the recent regression with abstention framework (Cheng et al., 2023) as a special case, where only a single expert, the squared loss and a label-independent cost are considered. Minimizing our proposed loss functions directly leads to novel algorithms for regression with deferral. We report the results of extensive experiments showing the effectiveness of our proposed algorithms.

Top-$k$ Classification and Cardinality-Aware Prediction

We present a detailed study of top-$k$ classification, the task of predicting the $k$ most probable classes for an input, extending beyond single-class prediction. We demonstrate that several prevalent surrogate loss functions in multi-class classification, such as comp-sum and constrained losses, are supported by $H$-consistency bounds with respect to the top-$k$ loss. These bounds guarantee consistency in relation to the hypothesis set $H$, providing stronger guarantees than Bayes-consistency due to their non-asymptotic and hypothesis-set specific nature. To address the trade-off between accuracy and cardinality $k$, we further introduce cardinality-aware loss functions through instance-dependent cost-sensitive learning. For these functions, we derive cost-sensitive comp-sum and constrained surrogate losses, establishing their $H$-consistency bounds and Bayes-consistency. Minimizing these losses leads to new cardinality-aware algorithms for top-$k$ classification. We report the results of extensive experiments on CIFAR-100, ImageNet, CIFAR-10, and SVHN datasets demonstrating the effectiveness and benefit of these algorithms.

Theoretically Grounded Loss Functions and Algorithms for Score-Based Multi-Class Abstention

Learning with abstention is a key scenario where the learner can abstain from making a prediction at some cost. In this paper, we analyze the score-based formulation of learning with abstention in the multi-class classification setting. We introduce new families of surrogate losses for the abstention loss function, which include the state-of-the-art surrogate losses in the single-stage setting and a novel family of loss functions in the two-stage setting. We prove strong non-asymptotic and hypothesis set-specific consistency guarantees for these surrogate losses, which upper-bound the estimation error of the abstention loss function in terms of the estimation error of the surrogate loss. Our bounds can help compare different score-based surrogates and guide the design of novel abstention algorithms by minimizing the proposed surrogate losses. We experimentally evaluate our new algorithms on CIFAR-10, CIFAR-100, and SVHN datasets and the practical significance of our new surrogate losses and two-stage abstention algorithms. Our results also show that the relative performance of the state-of-the-art score-based surrogate losses can vary across datasets.

Principled Approaches for Learning to Defer with Multiple Experts

We present a study of surrogate losses and algorithms for the general problem of learning to defer with multiple experts. We first introduce a new family of surrogate losses specifically tailored for the multiple-expert setting, where the prediction and deferral functions are learned simultaneously. We then prove that these surrogate losses benefit from strong $H$-consistency bounds. We illustrate the application of our analysis through several examples of practical surrogate losses, for which we give explicit guarantees. These loss functions readily lead to the design of new learning to defer algorithms based on their minimization. While the main focus of this work is a theoretical analysis, we also report the results of several experiments on SVHN and CIFAR-10 datasets.