arXiv:2510.02107v5 Announce Type: replace Abstract: AdaBoost sequentially fits so-called weak learners to minimize an exponential loss, which penalizes misclassified data points more severely than other loss functions like cross-entropy. Paradoxically, AdaBoost generalizes well in practice as the number of weak learners grows. In the present work, we introduce Penalized Exponential Loss (PENEX), a new formulation of the multi-class exponential loss that is theoretically grounded and, in contrast to the existing formulation, amenable to optimization via first-order methods, making it a practical objective for training neural networks. We demonstrate that PENEX effectively increases margins of data points, which can be translated into a generalization bound. Empirically, across computer vision and language tasks, PENEX improves neural network generalization in low-data regimes, matching and in some settings outperforming established regularizers at comparable computational cost. Our results highlight the potential of the exponential loss beyond its application in AdaBoost.