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Statistical Learning under Heterogeneous Distribution Shift by Simchowitz, Max; Ajay, Anurag; Agrawal, Pulkit; Krishnamurthy, Akshay is a scholarly article available to read on EtoBox.

What is Statistical Learning under Heterogeneous Distribution Shift about?

This paper studies the prediction of a target $\mathbf{z}$ from a pair of random variables $(\mathbf{x},\mathbf{y})$, where the ground-truth predictor is additive $\mathbb{E}[\mathbf{z} \mid \mathbf{x},\mathbf{y}] = f_\star(\mathbf{x}) +g_{\star}(\mathbf{y})$. We study the performance of empirical risk minimization (ERM) over functions $f+g$, $f \in F$ and $g \in G$, fit on a given training distribution, but evaluated on a test distribution which exhibits covariate shift. We show that, when the class $F$ is "simpler" than $G$ (measured, e.g., in terms of its metric entropy), our predictor is more resilient to heterogeneous covariate shifts} in which the shift in $\mathbf{x}$ is much greater than that in $\mathbf{y}$. Our analysis proceeds by demonstrating that ERM behaves qualitatively similarly to orthogonal machine learning: the rate at which ERM recovers the $f$-component of the predictor has only a lower-order dependence on the complexity of the class $G$, adjusted for partial non-indentifiability introduced by the additive structure. These results rely on a novel H\"older style inequality for the Dudley integral which may be of independent interest. Moreover, we corroborate ou

Author

Simchowitz, Max; Ajay, Anurag; Agrawal, Pulkit; Krishnamurthy, Akshay

Published

2023

Language

EN