Covariate Shift Adaptation by Importance Weighted Cross Validation

A common assumption in supervised learning is that the input points in the training set follow the same probability distribution as the input points that will be given in the future test phase. However, this assumption is not satisfied, for example, when the outside of the training region is extrapolated. The situation where the training input points and test input points follow different distributions while the conditional distribution of output values given input points is unchanged is called the covariate shift. Under the covariate shift, standard model selection techniques such as cross validation do not work as desired since its unbiasedness is no longer maintained. In this paper, we propose a new method…