Liu Liu

Jiacheng Zhuo, Liu Liu, Constantine Caramanis

Structured statistical estimation problems are often solved by Conditional Gradient (CG) type methods to avoid the computationally expensive projection operation. However, the existing CG type methods are not robust to data corruption. To address this, we propose to robustify CG type methods against Huber's corruption model and heavy-tailed data. First, we show that the two Pairwise CG methods are stable, i.e., do not accumulate error. Combined with robust mean gradient estimation techniques, we can therefore guarantee robustness to a wide class of problems, but now in a projection-free algorithmic framework. Next, we consider high dimensional problems. Robust mean estimation based approaches may have an unacceptably high sample complexity. When the constraint set is a $\ell_0$ norm ball, Iterative-Hard-Thresholding-based methods have been developed recently. Yet extension is non-trivial even for general sets with $O(d)$ extreme points. For setting where the feasible set has $O(\text{poly}(d))$ extreme points, we develop a novel robustness method, based on a new condition we call the Robust Atom Selection Condition (RASC). When RASC is satisfied, our method converges linearly with a corresponding statistical error, with sample complexity that scales correctly in the sparsity of the problem, rather than the ambient dimension as would be required by any approach based on robust mean estimation.

Ajil Jalal, Liu Liu, Alexandros G. Dimakis et al.

The goal of compressed sensing is to estimate a high dimensional vector from an underdetermined system of noisy linear equations. In analogy to classical compressed sensing, here we assume a generative model as a prior, that is, we assume the vector is represented by a deep generative model $G: \mathbb{R}^k \rightarrow \mathbb{R}^n$. Classical recovery approaches such as empirical risk minimization (ERM) are guaranteed to succeed when the measurement matrix is sub-Gaussian. However, when the measurement matrix and measurements are heavy-tailed or have outliers, recovery may fail dramatically. In this paper we propose an algorithm inspired by the Median-of-Means (MOM). Our algorithm guarantees recovery for heavy-tailed data, even in the presence of outliers. Theoretically, our results show our novel MOM-based algorithm enjoys the same sample complexity guarantees as ERM under sub-Gaussian assumptions. Our experiments validate both aspects of our claims: other algorithms are indeed fragile and fail under heavy-tailed and/or corrupted data, while our approach exhibits the predicted robustness.