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No Free Lunch for Early Stopping

Bell Laboratories, Lucent Technologies, 600 Mountain Ave., Rm. 2C–265, Murray Hill, NJ 07974, U.S.A.

Yaser S. Abu-Mostafa

Bell Laboratories, Lucent Technologies, 600 Mountain Ave., Rm. 2C–265, Murray Hill, NJ 07974, U.S.A.

Malik Magdon-Ismail

Learning Systems Group, California Institute of Technology, MC 136–93, Pasadena, CA 91125, U.S.A.

We show that with a uniform prior on models having the same training error, early stopping at some fixed training error above the training error minimum results in an increase in the expected generalization error.

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