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arXiv 2001.11713cs.LGstat.ML
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具有模型误设定和不可知分布偏移的稳定预测

Stable Prediction with Model Misspecification and Agnostic Distribution Shift

Zhejiang University(浙江大学);Tsinghua University(清华大学);Stanford University(斯坦福大学)

Kun Kuang, Ruoxuan Xiong, Peng Cui, Susan Athey, Bo Li

摘要:

对于许多机器学习算法,需要两个主要假设来保证性能。一个是测试数据与训练数据来自相同的分布,另一个是模型被正确指定。然而,在实际应用中,我们通常对测试数据和底层真实模型的先验知识很少。在模型误设定下,训练数据和测试数据之间的不可知分布偏移会导致参数估计的不准确性和对未知测试数据预测的不稳定性。为了解决这些问题,我们提出了一种新的去相关加权回归(DWR)算法,该算法联合优化变量去相关正则化器和加权回归模型。变量去相关正则化器估计每个样本的权重,使得变量在加权的训练数据上去相关。然后,将这些权重用于加权回归,以提高对各变量影响的估计精度,从而有助于提高预测在未知测试数据中的稳定性。大量的实验清楚地表明,我们的DWR算法可以显着提高参数估计的准确性和预测的稳定性与模型误设定和不可知的分布偏移。

英文摘要:

For many machine learning algorithms, two main assumptions are required to guarantee performance. One is that the test data are drawn from the same distribution as the training data, and the other is that the model is correctly specified. In real applications, however, we often have little prior knowledge on the test data and on the underlying true model. Under model misspecification, agnostic distribution shift between training and test data leads to inaccuracy of parameter estimation and instability of prediction across unknown test data. To address these problems, we propose a novel Decorrelated Weighting Regression (DWR) algorithm which jointly optimizes a variable decorrelation regularizer and a weighted regression model. The variable decorrelation regularizer estimates a weight for each sample such that variables are decorrelated on the weighted training data. Then, these weights are used in the weighted regression to improve the accuracy of estimation on the effect of each variable, thus help to improve the stability of prediction across unknown test data. Extensive experiments clearly demonstrate that our DWR algorithm can significantly improve the accuracy of parameter estimation and stability of prediction with model misspecification and agnostic distribution shift.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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