A Stochastic Gradient Descent Algorithm for Structural Risk Minimisation

Structural risk minimisation (SRM) is a general complexity regularization method which automatically selects the model complexity that approximately minimises the misclassification error probability of the empirical risk minimiser. It does so by adding a complexity penalty term e(m,k) to the empirical risk of the candidate hypotheses and then for any fixed sample size m it minimises the sum with respect to the model complexity variable k.