Robust estimation with Lasso when outputs are adversarially contaminated

Takeyuki Sasai; Hironori Fujisawa

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arXiv · 2004.05990

Robust estimation with Lasso when outputs are adversarially contaminated

Takeyuki Sasai·Hironori Fujisawa

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Abstract

We consider robust estimation when outputs are adversarially contaminated. Nguyen and Tran (2012) proposed an extended Lasso for robust parameter estimation and then they showed the convergence rate of the estimation error. Recently, Dalalyan and Thompson (2019) gave some useful inequalities and then they showed a faster convergence rate than Nguyen and Tran (2012). They focused on the fact that the minimization problem of the extended Lasso can become that of the penalized Huber loss function with $L_1$ penalty. The distinguishing point is that the Huber loss function includes an extra tuning parameter, which is different from the conventional method. We give the proof, which is different from Dalalyan and Thompson (2019) and then we give the same convergence rate as Dalalyan and Thompson (2019). The significance of our proof is to use some specific properties of the Huber function. Such techniques have not been used in the past proofs.

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Takeyuki Sasai, Hironori Fujisawa. 2020-04-13. Robust estimation with Lasso when outputs are adversarially contaminated. https://arxiv.org/abs/2004.05990

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