ERM and RERM are optimal estimators for regression problems when malicious outliers corrupt the labels (1910.10923v2)

Abstract: We study Empirical Risk Minimizers (ERM) and Regularized Empirical Risk Minimizers (RERM) for regression problems with convex and $L$-Lipschitz loss functions. We consider a setting where $|\cO|$ malicious outliers contaminate the labels. In that case, under a local Bernstein condition, we show that the $L_2$-error rate is bounded by $ r_N + AL |\cO|/N$, where $N$ is the total number of observations, $r_N$ is the $L_2$-error rate in the non-contaminated setting and $A$ is a parameter coming from the local Bernstein condition. When $r_N$ is minimax-rate-optimal in a non-contaminated setting, the rate $r_N + AL|\cO|/N$ is also minimax-rate-optimal when $|\cO|$ outliers contaminate the label. The main results of the paper can be used for many non-regularized and regularized procedures under weak assumptions on the noise. We present results for Huber's M-estimators (without penalization or regularized by the $\ell_1$-norm) and for general regularized learning problems in reproducible kernel Hilbert spaces when the noise can be heavy-tailed.