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Generalizing Importance Weighting to A Universal Solver for Distribution Shift Problems
Tongtong Fang · Nan Lu · Gang Niu · Masashi Sugiyama

Wed Dec 13 08:45 AM -- 10:45 AM (PST) @ Great Hall & Hall B1+B2 #1016

Distribution shift (DS) may have two levels: the distribution itself changes, and the support (i.e., the set where the probability density is non-zero) also changes. When considering the support change between the training and test distributions, there can be four cases: (i) they exactly match; (ii) the training support is wider (and thus covers the test support); (iii) the test support is wider; (iv) they partially overlap. Existing methods are good at cases (i) and (ii), while cases (iii) and (iv) are more common nowadays but still under-explored. In this paper, we generalize importance weighting (IW), a golden solver for cases (i) and (ii), to a universal solver for all cases. Specifically, we first investigate why IW might fail in cases (iii) and (iv); based on the findings, we propose generalized IW (GIW) that could handle cases (iii) and (iv) and would reduce to IW in cases (i) and (ii). In GIW, the test support is split into an in-training (IT) part and an out-of-training (OOT) part, and the expected risk is decomposed into a weighted classification term over the IT part and a standard classification term over the OOT part, which guarantees the risk consistency of GIW. Then, the implementation of GIW consists of three components: (a) the split of validation data is carried out by the one-class support vector machine, (b) the first term of the empirical risk can be handled by any IW algorithm given training data and IT validation data, and (c) the second term just involves OOT validation data. Experiments demonstrate that GIW is a universal solver for DS problems, outperforming IW methods in cases (iii) and (iv).

Author Information

Tongtong Fang (The University of Tokyo)
Nan Lu (Eberhard-Karls-Universität Tübingen)
Gang Niu (RIKEN)
Gang Niu

Gang Niu is currently an indefinite-term senior research scientist at RIKEN Center for Advanced Intelligence Project.

Masashi Sugiyama (RIKEN / University of Tokyo)

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