Algorithmic High Dimensional Robust Statistics I
summary
Goal: recover a Gaussian mean in d dimensions with an epsilon fraction of corruptions and identity covariance. Transcript claims sample complexity Theta(d/epsilon^2), naive estimators give error ~epsilon sqrt(d), and exponential-time Tukey/net methods solve it in 2^{O(d)}. Two polynomial-time approaches use spectral checks and empirical covariance spectral norm certificates plus iterative filtering to trim outliers, yielding provable errors O(epsilon sqrt(log d)) or O(epsilon sqrt(log 1/epsilon)) depending on the contamination model.
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chapters (25)
- 0:00Intro
- 1:20MOTIVATION
- 2:25DETECTING OUTLIERS IN REAL DATASETS
- 3:27DATA POISONING
- 4:12THE STATISTICAL LEARNING PROBLEM
- 6:37ROBUSTNESS IN A GENERATIVE MODEL
- 7:41MODELS OF ROBUSTNESS
- 11:25EXAMPLE: PARAMETER ESTIMATION
- 13:04ROBUST STATISTICS
- 13:20ROBUST ESTIMATION: ONE DIMENSION
- 17:03GAUSSIAN ROBUST MEAN ESTIMATION
- 18:38PREVIOUS APPROACHES: ROBUST MEAN ESTIMATION
- 25:21THIS TALK: ROBUST GAUSSIAN MEAN ESTIMATION
- 28:39HIGH-DIMENSIONAL GAUSSIAN MEAN ESTIMATION (0)
- 31:16INFORMATION-THEORETIC LIMITS ON ROBUST ESTIMATION (1)
- 35:08SAMPLE EFFICIENT ROBUST MEAN ESTIMATION (1)
- 39:21SAMPLE EFFICIENT ROBUST MEAN ESTIMATION (III)
- 43:43OUTLIER DETECTION ?
- 44:46NAIVE OUTLIER REMOVAL (NAIVE PRUNING)
- 45:38ON THE EFFECT OF CORRUPTIONS
- 48:28THREE APPROACHES: OVERVIEW AND COMPARISON
- 49:27OUTLINE
- 49:49CERTIFICATE OF ROBUSTNESS FOR EMPIRICAL ESTIMATOR
- 53:53PROOF OF KEY LEMMA: ADDITIVE CORRUPTIONS (1)
- 55:25PROOF OF KEY LEMMA: ADDITIVE CORRUPTIONS (III)
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