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Trimmed Maximum Likelihood Estimation for Robust Generalized Linear Model
Pranjal Awasthi · Abhimanyu Das · Weihao Kong · Rajat Sen

Thu Dec 01 02:00 PM -- 04:00 PM (PST) @ Hall J #722

We study the problem of learning generalized linear models under adversarial corruptions.We analyze a classical heuristic called the \textit{iterative trimmed maximum likelihood estimator} which is known to be effective against \textit{label corruptions} in practice. Under label corruptions, we prove that this simple estimator achieves minimax near-optimal risk on a wide range of generalized linear models, including Gaussian regression, Poisson regression and Binomial regression. Finally, we extend the estimator to the much more challenging setting of \textit{label and covariate corruptions} and demonstrate its robustness and optimality in that setting as well.

Author Information

Pranjal Awasthi (Google)
Abhimanyu Das (University of Southern California)
Weihao Kong (Google Research)
Rajat Sen (Google)

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