Fall 2018

Robust Estimation and Generative Adversarial Nets

Thursday, Nov. 1, 2018 11:30 am12:10 pm PDT

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Chao Gao (University of Chicago)

Robust estimation under Huber's $\epsilon$-contamination model has become an important topic in statistics and theoretical computer science. Rate-optimal procedures such as Tukey's median and other estimators based on statistical depth functions are impractical because of their computational intractability. In this talk, I will discuss an intriguing connection between f-GANs and various depth functions through the lens of f-Learning. Similar to the derivation of f-GAN, I will show that these depth functions that lead to rate-optimal robust estimators can all be viewed as variational lower bounds of the total variation distance in the framework of f-Learning. This connection opens the door of computing robust estimators using tools developed for training GANs. In particular, I will show that a JS-GAN that uses a neural network discriminator with at least one hidden layer is able to achieve the minimax rate of robust mean and covariance matrix estimation under Huber's $\epsilon$-contamination model. Interestingly, the hidden layers for the neural net structure in the discriminator class is shown to be necessary for robust estimation.