A Polynomial-time Form of Robust Regression

Dec 1, 2012·
Y. Yu
,
Ö. Aslan
,
D. Schuurmans
· 0 min read
Abstract
Despite the variety of robust regression methods that have been developed, current regression formulations are either NP-hard, or allow unbounded response to even a single leverage point. We present a general formulation for robust regression –Variational M-estimation–that unifies a number of robust regression methods while allowing a tractable approximation strategy. We develop an estimator that requires only polynomial-time, while achieving certain robustness and consistency guarantees. An experimental evaluation demonstrates the effectiveness of the new estimation approach compared to standard methods.
Type
Publication
Advances in Neural Information Processing Systems (NeurIPS)