Great successes of deep neural networks have been witnessed in various real applications. Many algorithmic and implementation techniques have been developed; however, theoretical understanding of many aspects of deep neural networks is far from clear. A particular interesting issue is the usefulness of dropout,which was motivated from the intuition of preventing complex co-adaptation of feature detectors. In this paper,we study the Rademacher complexity of different types of dropouts, and our theoretical results disclose that for shallow neural networks(with one or none hidden layer) dropout is able to reduce the Rademacher complexity in polynomial, whereas for deep neural networks it can amazingly lead to an exponential reduction. Great algorithces and implementation techniques have been developed; however, theoretical understanding of many aspects of deep aspects of neural networks is far from clear. A particular interesting issue is the usefulness of dropout, which was motivated from the intuition of preventing complex co-adaptation of feature detectors. In this paper, we study the Rademacher complexity of different types of dropouts, and our theoretical results disclose that for shallow neural networks (with one or none hidden layer) dropout is able to reduce the Rademacher complexity in polynomial, whereas for deep neural networks it can amazingly lead to an exponential reduction.