Aggregated hold-out

Aggregated hold-out (agghoo) is a method which averages learning rules selected by holdout (that is, cross-validation with a single split). We provide the first theoretical guarantees on agghoo, ensuring that it can be used safely: Agghoo performs at worst like the holdout when the risk is convex. The same holds true in classification with the 0-1 risk, with an additional constant factor. For the hold-out, oracle inequalities are known for bounded losses, as in binary classification. We show that similar results can be proved, under appropriate assumptions, for other risk-minimization problems. In particular, we obtain an oracle inequality for regularized kernel regression with a Lipschitz loss, without requiring that the Y variable or the regressors be bounded. Numerical experiments show that aggregation brings a significant improvement over the hold-out and that agghoo is competitive with cross-validation.