# Random variables in machine learning

In their text on machine learning, Ben-David and Shalev-Shawrtz (see https://www.cs.huji.ac.il/~shais/UnderstandingMachineLearning/understanding-machine-learning-theory-algorithms.pdf) develop a setting in which learning takes place in chapter 3. Essentially you have a hypothesis class $$\mathcal{H}$$, an input space $$\mathcal{X}$$, an output space $$\mathcal{Y}$$, a probability distribution $$\mathcal{D}$$ on $$\mathcal{Z=X\times Y}$$ and a loss function $$l:\mathcal{H\times Z}\rightarrow\mathbb{R_{\geq 0}}$$.

They note on page 49 that for each $$h\in\mathcal{H}$$, $$l(h,.)$$ is a random variable. Now assume that you have a sequence of $$z_1,\ldots,z_n$$ iid sample of points in $$\mathcal{Z}$$ sampled according to $$\mathcal{D}$$. On page 56 they have the following: "Getting back to our problem, let $$\theta_i$$ be the random variable $$l(h,z_i)$$".

I find this confusing.

1) According to the data it seems that $$l(h,z_i)$$ is a single real value, say $$c_i$$. Is it that you think of this real value as the random variable $$f_i$$ that is constant on $$\mathcal{Z}$$ with $$f_i(z)=c_i$$ for all $$z\in\mathcal{Z}$$?

2) Since the sample is drawn in an iid fashion there are iid random variable $$\theta_i$$ such that the $$z_i$$ are realizations of the $$\theta_i$$. Is it that they referring to these $$\theta_i$$. Also, if this is the case, it seems to me that $$\theta_i (z)=l(h,z)$$. But this seems to contradict the iid assumption, unless you assume that $$\theta_i$$ talks about the $$i^\text{th}$$ pick from the data sample. Even then the calculations then should be far simpler as the $$\theta_i$$ can be replaced by $$l(h, .)$$ which leads me to think that I'm making a mistake somewhere.

So what is the correct viewpoint here?

• Welcome to Cross Validated. I recommend you choose a more descriptive title for your question, this way it is more likely to be found on the site. – deemel Apr 24 at 14:22
• @Rickyfox: Thanks for pointing that out. I was going to put a more descriptive title but I forgot and ended up submitting the question. – user233343 Apr 24 at 14:25