Takeyuki Sasai

Takeyuki Sasai

Robust and sparse estimation of linear regression coefficients is investigated. The situation addressed by the present paper is that covariates and noises are sampled from heavy-tailed distributions, and the covariates and noises are contaminated by malicious outliers. Our estimator can be computed efficiently. Further, the error bound of the estimator is nearly optimal.

Takeyuki Sasai, Hironori Fujisawa

We investigate a problem estimating coefficients of linear regression under sparsity assumption when covariates and noises are sampled from heavy tailed distributions. Additionally, we consider the situation where not only covariates and noises are sampled from heavy tailed distributions but also contaminated by outliers. Our estimators can be computed efficiently, and exhibit sharp error bounds.

Takeyuki Sasai, Hironori Fujisawa

We consider a robust estimation of linear regression coefficients. In this note, we focus on the case where the covariates are sampled from an $L$-subGaussian distribution with unknown covariance, the noises are sampled from a distribution with a bounded absolute moment and both covariates and noises may be contaminated by an adversary. We derive an estimation error bound, which depends on the stable rank and the condition number of the covariance matrix of covariates with a polynomial computational complexity of estimation.

Takeyuki Sasai, Hironori Fujisawa

We consider robust low rank matrix estimation as a trace regression when outputs are contaminated by adversaries. The adversaries are allowed to add arbitrary values to arbitrary outputs. Such values can depend on any samples. We deal with matrix compressed sensing, including lasso as a partial problem, and matrix completion, and then we obtain sharp estimation error bounds. To obtain the error bounds for different models such as matrix compressed sensing and matrix completion, we propose a simple unified approach based on a combination of the Huber loss function and the nuclear norm penalization, which is a different approach from the conventional ones. Some error bounds obtained in the present paper are sharper than the past ones.

Takeyuki Sasai, Hironori Fujisawa

We consider robust estimation when outputs are adversarially contaminated. Nguyen and Tran (2012) proposed an extended Lasso for robust parameter estimation and then they showed the convergence rate of the estimation error. Recently, Dalalyan and Thompson (2019) gave some useful inequalities and then they showed a faster convergence rate than Nguyen and Tran (2012). They focused on the fact that the minimization problem of the extended Lasso can become that of the penalized Huber loss function with $L_1$ penalty. The distinguishing point is that the Huber loss function includes an extra tuning parameter, which is different from the conventional method. We give the proof, which is different from Dalalyan and Thompson (2019) and then we give the same convergence rate as Dalalyan and Thompson (2019). The significance of our proof is to use some specific properties of the Huber function. Such techniques have not been used in the past proofs.