Talks
Fall 2018

High Dimensional Robust Sparse Regression

Thursday, November 29th, 2018 9:30 am10:10 am

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Speaker: 

Constantine Caramanis (University of Texas at Austin)

We provide a novel ? and to the best of our knowledge, the first ? algorithm for high dimensional sparse regression with corruptions in explanatory and/or response variables. Our algorithm recovers the true sparse parameters in the presence of a constant fraction of arbitrary corruptions. Our main contribution is a robust variant of Iterative Hard Thresholding. Using this, we provide accurate estimators with sub-linear sample complexity. Our algorithm consists of a novel randomized outlier removal technique for robust sparse mean estimation that may be of interest in its own right: it is orderwise more efficient computationally than existing algorithms, and succeeds with high probability, thus making it suitable for general use in iterative algorithms.