论文标题

强大的优化和对流形的推断

Robust Optimization and Inference on Manifolds

论文作者

Lin, Lizhen, Lazar, Drew, Sarpabayeva, Bayan, Dunson, David B.

论文摘要

我们为一般优化和推理问题提出了一个可靠,可扩展的程序,以利用“中位数”估计的经典思想。这是由无处不在的示例和现代数据科学的应用所激发的,在现代数据科学中,统计学习问题可以作为对多种流形的优化问题。能够将基本的几何形状纳入推理,同时解决对鲁棒性和可伸缩性的需求带来了巨大的挑战。我们首先证明了一个关键的引理来应对这些挑战,该关键引理表征了几何中位数在多种多样中的一些关键特性。反过来,这使我们能够在随后的定理中证明我们提出的最终估计量的稳健性和更高的浓度。该估计器通过将其几何中位数放在歧管上来汇总子集估计器的集合。我们通过明确的示例中的计算说明了此估计量的界限。该过程的鲁棒性和可扩展性在模拟和真实数据集的数值示例中进行了说明。

We propose a robust and scalable procedure for general optimization and inference problems on manifolds leveraging the classical idea of `median-of-means' estimation. This is motivated by ubiquitous examples and applications in modern data science in which a statistical learning problem can be cast as an optimization problem over manifolds. Being able to incorporate the underlying geometry for inference while addressing the need for robustness and scalability presents great challenges. We address these challenges by first proving a key lemma that characterizes some crucial properties of geometric medians on manifolds. In turn, this allows us to prove robustness and tighter concentration of our proposed final estimator in a subsequent theorem. This estimator aggregates a collection of subset estimators by taking their geometric median over the manifold. We illustrate bounds on this estimator via calculations in explicit examples. The robustness and scalability of the procedure is illustrated in numerical examples on both simulated and real data sets.

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