A key result in statistics is the data processing inequality, originally proved by Blackwell (1951) and later refined by DeGroot (1962) in terms of statistical uncertainty. The latter statement claims that the Bayes risk achieved on raw data always undercuts the Bayes risk on a processed version of the same data. This seemingly contradicts empirical findings in machine learning: pre-training, representation learning, feature learning, data augmentation are techniques used to improve performance of machine learning models. We reconcile both worlds by simply accepting that machine learning problems are constrained learning problems: the model class used does not include all measurable functions. We present counterexamples showing that the classical data processing inequality fails to hold in such a setting. Hence, we formulate a generalized data processing inequality, requiring the constrained Bayes risk of a joint distribution (with respect to a loss function and a constrained model class) to lower bound the constrained Bayes risk on the stochastically modified data distribution, regardless of the choice of distribution. We show this inequality to be equivalent to a set containment condition on a specific function set induced by the loss and model class, called the superprediction set. Finally, we exploit our characterization, derive sufficient conditions for this containment and quantify the inequality-gap.

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