Abstract
This paper investigates Neyman-Pearson classification with convex loss function in the arbitrary class of real measurable functions. A general condition is given under which Neyman-Pearson classification with convex loss function has the same classifier as that with indicator loss function. We give analysis to NP-ERM with convex loss function and prove it's performance guarantees. An example of complexity penalty pair about convex loss function risk in terms of Rademacher averages is studied, which produces a tight PAC bound of the NP-ERM with convex loss function.
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