Robust multitask Elliptical Regression (ROMER)

Nofar Noy, Yaav Wald, Gal Elidan, Ami Wiesel

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Multitask regression, and in particular the setting where each task is data starved, is a common challenge in machine learning and signal processing. The goal in such cases is to leverage the correlation or joint structure between the tasks in order to gain higher accuracy. In realistic settings the underlying distribution is often heavy-tailed or contaminated and requires the use of robust statistics. To enjoy the benefits of both, we interpret multitask regression as estimation of the parameters of a multivariate conditional distribution. This naturally leads to RObust Multitask Elliptical Regression (ROMER), and allows for robust estimation in the predictive or conditional multitask setting. Following the introduction of the model, we characterize the optimization landscape, and demonstrate its efficacy in a real-world problem of river discharge estimation across multiple river sites.

Original languageAmerican English
Title of host publication2019 IEEE 8th International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, CAMSAP 2019 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages261-265
Number of pages5
ISBN (Electronic)9781728155494
DOIs
StatePublished - Dec 2019
Event8th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, CAMSAP 2019 - Le Gosier, Guadeloupe
Duration: 15 Dec 201918 Dec 2019

Publication series

Name2019 IEEE 8th International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, CAMSAP 2019 - Proceedings

Conference

Conference8th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, CAMSAP 2019
Country/TerritoryGuadeloupe
CityLe Gosier
Period15/12/1918/12/19

Keywords

  • Robust regression
  • conditional graphical models
  • geodesic convexity
  • multivariate elliptical distributions

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Artificial Intelligence
  • Computer Networks and Communications

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