Robust PACm: Training ensemble models under model misspecification and outliers

Zecchin, Matteo; Park, Sangwoo; Simeone, Osvaldo; Kountouris, Marios; Gesbert, David
Submitted to IEEE Transactions on Neural Networks and Learning Systems, 3 March 2022

Standard Bayesian learning is known to have suboptimal generalization capabilities under model misspecification and in the presence of outliers. PAC-Bayes theory demonstrates that the free energy criterion minimized by Bayesian learning is a bound on the generalization error for Gibbs predictors (i.e., for single models drawn at random from the posterior) under the assumption of sampling distributions uncontaminated by outliers. This viewpoint provides a justification for the limitations of Bayesian learning when the model is misspecified, requiring ensembling, and when data is affected by outliers. In recent work, PAC-Bayes bounds - referred to as PACm - were derived to introduce free energy metrics that account for the performance of ensemble predictors, obtaining enhanced performance under misspecification. This work presents a novel robust free energy criterion that combines the generalized logarithm score function with PACm ensemble bounds. The proposed free energy training criterion produces predictive distributions that are able to concurrently counteract the detrimental effects of model misspecification and outliers.


Type:
Journal
Date:
2022-03-03
Department:
Communication systems
Eurecom Ref:
6833
Copyright:
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