arXiv Machine Learning By Jessica Finocchiaro, Sanket Shah, Milind Tambe

Contrasting Cost-Agnostic and Cost-Sensitive Losses under Limited Model Capacity via $\mathcal H$-consistency

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The paper investigates the difference between cost‑agnostic and cost‑sensitive loss functions when model capacity is limited. It shows that, unlike in ideal infinite‑capacity settings, optimizing a cost‑sensitive objective can yield a strictly better downstream decision than post‑processing a cost‑agnostic model. The authors prove this gap under a hypothesis class that can recover the optimal decision boundary but not the optimal cost‑agnostic hypothesis, and provide a simple example and empirical evidence on UCI datasets with simple models.

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