PAC-Bayes with Unbounded Losses through Supermartingales

While PAC-Bayes is now an established learning framework for bounded losses, its extension to the case of unbounded losses (as simple as the squared loss on an unbounded space) remains largely uncharted and has attracted a growing interest in recent years. We contribute to this line of work by developing an extention of Markov's inequality for supermartingales, which we use to establish a novel PAC-Bayesian generalisation bound holding for unbounded losses. We show that this bound extends, unifies and even improves on existing PAC-Bayesian bounds.