Optimistic Robust Optimization With Applications To Machine Learning

Robust Optimization has traditionally taken a pessimistic, or worst-case viewpoint of uncertainty which is motivated by a desire to find sets of optimal policies that maintain feasibility under a variety of operating conditions. In this paper, we explore an optimistic, or best-case view of uncertainty and show that it can be a fruitful approach. We show that these techniques can be used to address a wide variety of problems. First, we apply our methods in the context of robust linear programming, providing a method for reducing conservatism in intuitive ways that encode economically realistic modeling assumptions. Second, we look at problems in machine learning and find that this approach is strongly connected to the existing literature. Specifically, we provide a new interpretation for popular sparsity inducing non-convex regularization schemes. Additionally, we show that successful approaches for dealing with outliers and noise can be interpreted as optimistic robust optimization problems. Although many of the problems resulting from our approach are non-convex, we find that DCA or DCA-like optimization approaches can be intuitive and efficient

Low Complexity Regularization of Linear Inverse Problems

Inverse problems and regularization theory is a central theme in contemporary signal processing, where the goal is to reconstruct an unknown signal from partial indirect, and possibly noisy, measurements of it. A now standard method for recovering the unknown signal is to solve a convex optimization problem that enforces some prior knowledge about its structure. This has proved efficient in many problems routinely encountered in imaging sciences, statistics and machine learning. This chapter delivers a review of recent advances in the field where the regularization prior promotes solutions conforming to some notion of simplicity/low-complexity. These priors encompass as popular examples sparsity and group sparsity (to capture the compressibility of natural signals and images), total variation and analysis sparsity (to promote piecewise regularity), and low-rank (as natural extension of sparsity to matrix-valued data). Our aim is to provide a unified treatment of all these regularizations under a single umbrella, namely the theory of partial smoothness. This framework is very general and accommodates all low-complexity regularizers just mentioned, as well as many others. Partial smoothness turns out to be the canonical way to encode low-dimensional models that can be linear spaces or more general smooth manifolds. This review is intended to serve as a one stop shop toward the understanding of the theoretical properties of the so-regularized solutions. It covers a large spectrum including: (i) recovery guarantees and stability to noise, both in terms of $\ell^2$-stability and model (manifold) identification; (ii) sensitivity analysis to perturbations of the parameters involved (in particular the observations), with applications to unbiased risk estimation ; (iii) convergence properties of the forward-backward proximal splitting scheme, that is particularly well suited to solve the corresponding large-scale regularized optimization problem

Parsimonious Unsupervised and Semi-Supervised Domain Adaptation with Good Similarity Functions

International audienceIn this paper, we address the problem of domain adaptation for binary classification. This problem arises when the distributions generating the source learning data and target test data are somewhat different. From a theoretical standpoint, a classifier has better generalization guarantees when the two domain marginal distributions of the input space are close. Classical approaches try mainly to build new projection spaces or to reweight the source data with the objective of moving closer the two distributions. We study an original direction based on a recent framework introduced by Balcan et al. enabling one to learn linear classifiers in an explicit projection space based on a similarity function, not necessarily symmetric nor positive semi-definite. We propose a well founded general method for learning a low-error classifier on target data which is effective with the help of an iterative procedure compatible with Balcan et al.'s framework. A reweighting scheme of the similarity function is then introduced in order to move closer the distri- butions in a new projection space. The hyperparameters and the reweighting quality are controlled by a reverse validation procedure. Our approach is based on a linear programming formulation and shows good adaptation performances with very sparse models. We first consider the challenging unsupervised case where no target label is accessible, which can be helpful when no manual annotation is possible. We also propose a generalization to the semi-supervised case allowing us to consider some few target labels when available. Finally, we evaluate our method on a synthetic problem and on a real image annotation task

Convex Latent-Optimized Adversarial Regularizers for Imaging Inverse Problems

Recently, data-driven techniques have demonstrated remarkable effectiveness in addressing challenges related to MR imaging inverse problems. However, these methods still exhibit certain limitations in terms of interpretability and robustness. In response, we introduce Convex Latent-Optimized Adversarial Regularizers (CLEAR), a novel and interpretable data-driven paradigm. CLEAR represents a fusion of deep learning (DL) and variational regularization. Specifically, we employ a latent optimization technique to adversarially train an input convex neural network, and its set of minima can fully represent the real data manifold. We utilize it as a convex regularizer to formulate a CLEAR-informed variational regularization model that guides the solution of the imaging inverse problem on the real data manifold. Leveraging its inherent convexity, we have established the convergence of the projected subgradient descent algorithm for the CLEAR-informed regularization model. This convergence guarantees the attainment of a unique solution to the imaging inverse problem, subject to certain assumptions. Furthermore, we have demonstrated the robustness of our CLEAR-informed model, explicitly showcasing its capacity to achieve stable reconstruction even in the presence of measurement interference. Finally, we illustrate the superiority of our approach using MRI reconstruction as an example. Our method consistently outperforms conventional data-driven techniques and traditional regularization approaches, excelling in both reconstruction quality and robustness