Exactly Tight Information-Theoretic Generalization Error Bound for the Quadratic Gaussian Problem
We provide a new information-theoretic generalization error bound that is exactly tight (i.e., matching even the constant) for the canonical quadratic Gaussian (location) problem. Most existing bounds are order-wise loose in this setting, which has raised concerns about the fundamental capability of information-theoretic bounds in reasoning the generalization behavior for machine learning. The proposed new bound adopts the individual-sample-based approach proposed by Bu et al., but also has several key new ingredients.