Non-Convex Robust Hypothesis Testing using Sinkhorn Uncertainty Sets
This addresses robust hypothesis testing for statistical inference applications, offering improved methods over existing approximations.
The paper tackles the non-convex robust hypothesis testing problem by developing a framework that minimizes worst-case type-I and type-II risks using Sinkhorn discrepancy-based uncertainty sets. It introduces an exact mixed-integer exponential conic reformulation for global optimality and a convex approximation that outperforms state-of-the-art methods, with numerical studies showing satisfactory testing performance and computational efficiency.
We present a new framework to address the non-convex robust hypothesis testing problem, wherein the goal is to seek the optimal detector that minimizes the maximum of worst-case type-I and type-II risk functions. The distributional uncertainty sets are constructed to center around the empirical distribution derived from samples based on Sinkhorn discrepancy. Given that the objective involves non-convex, non-smooth probabilistic functions that are often intractable to optimize, existing methods resort to approximations rather than exact solutions. To tackle the challenge, we introduce an exact mixed-integer exponential conic reformulation of the problem, which can be solved into a global optimum with a moderate amount of input data. Subsequently, we propose a convex approximation, demonstrating its superiority over current state-of-the-art methodologies in literature. Furthermore, we establish connections between robust hypothesis testing and regularized formulations of non-robust risk functions, offering insightful interpretations. Our numerical study highlights the satisfactory testing performance and computational efficiency of the proposed framework.