Weighted Empirical Risk Minimization: Sample Selection Bias Correction based on Importance Sampling

We consider statistical learning problems, when the distribution $P'$ of the training observations $Z'1,\; \ldots,\; Z'n$ differs from the distribution $P$ involved in the risk one seeks to minimize (referred to as the test distribution) but is still defined on the same measurable space as $P$ and dominates it. In the unrealistic case where the likelihood ratio $\Phi(z)=dP/dP'(z)$ is known, one may straightforwardly extends the Empirical Risk Minimization (ERM) approach to this specific transfer learning setup using the same idea as that behind Importance Sampling, by minimizing a weighted version of the empirical risk functional computed from the 'biased' training data $Z'i$ with weights $\Phi(Z'i)$. Although the importance function $\Phi(z)$ is generally unknown in practice, we show that, in various situations frequently encountered in practice, it takes a simple form and can be directly estimated from the $Z'i$'s and some auxiliary information on the statistical population $P$. By means of linearization techniques, we then prove that the generalization capacity of the approach aforementioned is preserved when plugging the resulting estimates of the $\Phi(Z'i)$'s into the weighted empirical risk. Beyond these theoretical guarantees, numerical results provide strong empirical evidence of the relevance of the approach promoted in this article.