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A Polynomial-time Form of Robust Regression

2020-01-13 | |  47 |   42 |   0

Abstract

Despite the variety of robust regression methods that have been developed, current regression formulations are either NP-hard, or allow unbounded response to even a single leverage point. We present a general formulation for robust regression—Variational M-estimation—that unifies a number of robust regression methods while allowing a tractable approximation strategy. We develop an estimator that requires only polynomial-time, while achieving certain robustness and consistency guarantees. An experimental evaluation demonstrates the effectiveness of the new estimation approach compared to standard methods.

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