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arXiv 2205.13635cs.LGmath.OCmath.STstat.TH
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RIGID:具有缺失数据的稳健线性回归

RIGID: Robust Linear Regression with Missing Data

Georgia State University(佐治亚州立大学);University of Waterloo(滑铁卢大学)

Alireza Aghasi, MohammadJavad Feizollahi, Saeed Ghadimi

摘要:

我们提出了一个强大的框架来执行线性回归的功能中缺失的条目。通过考虑椭圆数据分布,特别是多元正态模型,我们能够有条件地制定缺失条目的分布,并提出一个强大的框架,最大限度地减少了缺失数据的不确定性所造成的最坏情况下的错误。我们表明,所提出的配方,它自然地考虑到不同变量之间的依赖关系,最终减少到一个凸的程序,可以提供定制和可扩展的求解器。除了详细的分析,以提供这样的求解器,我们还渐近分析所提出的框架的行为,并提出技术讨论,以估计所需的输入参数。我们补充我们的分析与合成,半合成和真实数据上进行的实验,并显示所提出的配方如何提高预测精度和鲁棒性,并优于竞争技术。缺失数据是机器学习中与许多数据集相关的常见问题。随着使用鲁棒优化技术来训练机器学习模型的显著增加,本文提出了一种新的鲁棒回归框架,该框架通过最小化与缺失数据相关的不确定性来操作。该方法允许使用不完整的数据训练模型,同时最大限度地减少与不可用数据相关的不确定性的影响。本文提出的思想可以推广到线性模型和椭圆数据分布之外。

英文摘要:

We present a robust framework to perform linear regression with missing entries in the features. By considering an elliptical data distribution, and specifically a multivariate normal model, we are able to conditionally formulate a distribution for the missing entries and present a robust framework, which minimizes the worst case error caused by the uncertainty about the missing data. We show that the proposed formulation, which naturally takes into account the dependency between different variables, ultimately reduces to a convex program, for which a customized and scalable solver can be delivered. In addition to a detailed analysis to deliver such solver, we also asymptoticly analyze the behavior of the proposed framework, and present technical discussions to estimate the required input parameters. We complement our analysis with experiments performed on synthetic, semi-synthetic, and real data, and show how the proposed formulation improves the prediction accuracy and robustness, and outperforms the competing techniques. Missing data is a common problem associated with many datasets in machine learning. With the significant increase in using robust optimization techniques to train machine learning models, this paper presents a novel robust regression framework that operates by minimizing the uncertainty associated with missing data. The proposed approach allows training models with incomplete data, while minimizing the impact of uncertainty associated with the unavailable data. The ideas developed in this paper can be generalized beyond linear models and elliptical data distributions.

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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