Robust regression using biased objectives

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Part of the following topical collections:
  1. Special Issue of the ECML PKDD 2017 Journal Track

Abstract

For the regression task in a non-parametric setting, designing the objective function to be minimized by the learner is a critical task. In this paper we propose a principled method for constructing and minimizing robust losses, which are resilient to errant observations even under small samples. Existing proposals typically utilize very strong estimates of the true risk, but in doing so require a priori information that is not available in practice. As we abandon direct approximation of the risk, this lets us enjoy substantial gains in stability at a tolerable price in terms of bias, all while circumventing the computational issues of existing procedures. We analyze existence and convergence conditions, provide practical computational routines, and also show empirically that the proposed method realizes superior robustness over wide data classes with no prior knowledge assumptions.

Keywords

Robust loss Heavy-tailed noise Risk minimization 

Supplementary material

10994_2017_5653_MOESM1_ESM.zip (119 kb)
Supplementary material 1 (zip 118 KB)

Copyright information

© The Author(s) 2017

Authors and Affiliations

  1. 1.Graduate School of Information ScienceNara Institute of Science and TechnologyIkoma, NaraJapan

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