A Generalized McDiarmid Inequality: Sample Reuse and Non-Uniform Unbounded Differences
Organizations: Department of Mathematics, Texas State University, San Marcos, TX, USA
Abstract
We develop a novel generalization of McDiarmid's concentration inequality and use it to obtain a uniform law of large numbers result and error bounds on stochastic optimization problems which simultaneously incorporate two key features: 1) They capture the benefit of training sample reuse in algorithms that also employ easily-sampled auxiliary random variables. 2) They allow for one-component mean-difference bounding functions which are both unbounded in the component of interest and have non-uniform dependence on another component. We demonstrate the utility of our method by deriving concentration inequalities for score-based generative modeling. This application naturally leverages both key features of our new tools: 1) It utilizes auxiliary Gaussian random variables in conjunction with the training samples; accounting for training sample reuse results in tighter error bounds by effectively integrating out the dependence on the auxiliary random variables. 2) The ability to handle non-uniform mean-difference bounding functions allows us to treat unbounded score models and data distributions with unbounded support.
Figures & tables
| Method | Tail behaviors covered | Allows non-uniform dependence on earlier variables | Allows non-uniform dependence on later variables | Tightest constants |
| Theorem 2.1 | General MGF or Orlicz-norm bound | yes | yes | no |
| Generalized McDiarmid [ 2 ] | General MGF or Orlicz-norm bound | no | yes | no |
| Entropy method [ 12 ] | sub-Gaussian or sub-exponential | no | no | no |
| Sub-Gaussian diameter [ 9 ] | sub-Gaussian | no | no | no |
| McDiarmid’s inequality [ 13 ] | compact support | no | no | yes |
Generalization Bounds
Generalization bounds quantify how training performance can differ from population or test performance as sample size and model complexity change.
See all 163 papers