High Dimensional Robust Sparse Regression

Liu Liu, Yanyao Shen, Tianyang Li, Constantine Caramanis
Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, PMLR 108:411-421, 2020.

Abstract

We provide a novel – and to the best of our knowledge, the first – algorithm for high dimensional sparse regression with constant fraction of corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse parameters with sub-linear sample complexity,in the presence of a constant fraction of arbitrary corruptions. Our main contribution is a robust variant of Iterative Hard Thresholding. Using this, we provide accurate estimators:when the covariance matrix in sparse regression is identity, our error guarantee is near information-theoretically optimal. We then deal with robust sparse regression with unknown structured covariance matrix. We propose a filtering algorithm whichconsists of a novel randomized outlier removal technique for robust sparse mean estimation that may be of interest in its own right: the filtering algorithm is flexible enough to deal with unknown covariance.Also, it is orderwise more efficient computationally than the ellipsoid algorithm.Using sub-linear sample complexity, our algorithm achieves the best known (and first) error guarantee. We demonstrate the effectiveness on large-scale sparse regression problems with arbitrary corruptions.

Cite this Paper


BibTeX
@InProceedings{pmlr-v108-liu20b, title = {High Dimensional Robust Sparse Regression}, author = {Liu, Liu and Shen, Yanyao and Li, Tianyang and Caramanis, Constantine}, booktitle = {Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics}, pages = {411--421}, year = {2020}, editor = {Silvia Chiappa and Roberto Calandra}, volume = {108}, series = {Proceedings of Machine Learning Research}, month = {26--28 Aug}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v108/liu20b/liu20b.pdf}, url = { http://proceedings.mlr.press/v108/liu20b.html }, abstract = {We provide a novel – and to the best of our knowledge, the first – algorithm for high dimensional sparse regression with constant fraction of corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse parameters with sub-linear sample complexity,in the presence of a constant fraction of arbitrary corruptions. Our main contribution is a robust variant of Iterative Hard Thresholding. Using this, we provide accurate estimators:when the covariance matrix in sparse regression is identity, our error guarantee is near information-theoretically optimal. We then deal with robust sparse regression with unknown structured covariance matrix. We propose a filtering algorithm whichconsists of a novel randomized outlier removal technique for robust sparse mean estimation that may be of interest in its own right: the filtering algorithm is flexible enough to deal with unknown covariance.Also, it is orderwise more efficient computationally than the ellipsoid algorithm.Using sub-linear sample complexity, our algorithm achieves the best known (and first) error guarantee. We demonstrate the effectiveness on large-scale sparse regression problems with arbitrary corruptions.} }
Endnote
%0 Conference Paper %T High Dimensional Robust Sparse Regression %A Liu Liu %A Yanyao Shen %A Tianyang Li %A Constantine Caramanis %B Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2020 %E Silvia Chiappa %E Roberto Calandra %F pmlr-v108-liu20b %I PMLR %P 411--421 %U http://proceedings.mlr.press/v108/liu20b.html %V 108 %X We provide a novel – and to the best of our knowledge, the first – algorithm for high dimensional sparse regression with constant fraction of corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse parameters with sub-linear sample complexity,in the presence of a constant fraction of arbitrary corruptions. Our main contribution is a robust variant of Iterative Hard Thresholding. Using this, we provide accurate estimators:when the covariance matrix in sparse regression is identity, our error guarantee is near information-theoretically optimal. We then deal with robust sparse regression with unknown structured covariance matrix. We propose a filtering algorithm whichconsists of a novel randomized outlier removal technique for robust sparse mean estimation that may be of interest in its own right: the filtering algorithm is flexible enough to deal with unknown covariance.Also, it is orderwise more efficient computationally than the ellipsoid algorithm.Using sub-linear sample complexity, our algorithm achieves the best known (and first) error guarantee. We demonstrate the effectiveness on large-scale sparse regression problems with arbitrary corruptions.
APA
Liu, L., Shen, Y., Li, T. & Caramanis, C.. (2020). High Dimensional Robust Sparse Regression. Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 108:411-421 Available from http://proceedings.mlr.press/v108/liu20b.html .

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