Robust Estimation via Robust Gradient Estimation
Robust Estimation via Robust Gradient Estimation
Summary We provide a new computationally efficient class of estimators for risk minimization. We show that these estimators are robust for general statistical models, under varied robustness settings, including in the classical Huber ε-contamination model, and in heavy-tailed settings. Our workhorse is a novel robust variant of gradient descent, and …