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We propose and analyze algorithms for distributionally robust optimization of convex losses with conditional value at risk and $\chi^2$ divergence uncertainty sets
Large-Scale Methods for Distributionally Robust Optimization
NIPS 2020, (2020): 8847-8860
We propose and analyze algorithms for distributionally robust optimization of convex losses with conditional value at risk (CVaR) and $\chi^2$ divergence uncertainty sets. We prove that our algorithms require a number of gradient evaluations independent of training set size and number of parameters, making them suitable for large-scale ...More
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- The growing role of machine learning in high-stakes decision-making raises the need to train reliable models that perform robustly across subpopulations and environments [10, 24, 61, 50, 31, 46, 34].
- Some of the results extend to more general φ-divergence balls 
- Minimizers of these objectives enjoy favorable statistical properties [17, 29], but finding them is more challenging than standard ERM.
- Stochastic gradient methods solve ERM with a number of ∇ computations independent of both N , the support size of P0, and d, the dimension of x
- These guarantees do not directly apply to DRO because the supremum over Q in (1) makes cheap sampling-based gradient estimates biased.
- As a consequence, existing techniques for minimizing the χ2 objective [1, 15, 2, 4, 40, 17]
- The growing role of machine learning in high-stakes decision-making raises the need to train reliable models that perform robustly across subpopulations and environments [10, 24, 61, 50, 31, 46, 34]
- The literature considers several uncertainty sets [2, 4, 6, 22], and we focus on two particular choices: (a) the set of distributions with bounded likelihood ratio to P0, so that L becomes the conditional value at risk (CVaR) [51, 58], and (b) the set of distributions with bounded χ2 divergence to P0 [2, 12]
- To obtain algorithms with improved oracle complexities, in Section 4 we present a theoretically more efficient multi-level Monte Carlo (MLMC) [26, 27] gradient estimator which is a slight modification of the general technique of Blanchet and Glynn 
- To the best of our knowledge, the latter is the largest Distributionally robust optimization (DRO) problem solved to date. In both experiments DRO provides generalization improvements over empirical risk minimization (ERM), and we show that our stochastic gradient estimators require far fewer ∇ computations—between 9× and 36×—than full-batch methods
- Our code, which is available at https://github.com/daniellevy/fast-dro/, implements our gradient estimators in PyTorch  and combines them seamlessly with the framework’s optimizers; we show an example code snippet in Appendix F.3
- For ImageNet the effect is more modest: in the worst-performing 10 classes we observe improvements of 5–10% in log loss, as well as a roughly 4 point improvement in accuracy. These improvements, come at the cost of degradation in average performance: the average loss increases by up to 10% and the average accuracy drops by roughly 1 point
- We conclude the discussion by briefly touching upon the improvement that DRO yields in terms of generalization metrics; we provide additional detail in Appendix F.5
- The authors' main focus is measuring how the total work in solving the DRO problems depends on different gradient estimators.
- To ensure that the authors operate in practically meaningful settings, the experiments involve heterogeneous data, and the authors tune the DRO with high probability, the authors can use the median of a logarithmic number.
- Digits: Penalized-χ2 with λ = 0.05.
- ImageNet: CVaR with α = 0.1.
- ImageNet: Constrained-χ2 with ρ = 1.0.
- ImageNet: Penalized-χ2 with λ = 0.4 Batch n = 10.
- For ImageNet the effect is more modest: in the worst-performing 10 classes the authors observe improvements of 5–10% in log loss, as well as a roughly 4 point improvement in accuracy.
- These improvements, come at the cost of degradation in average performance: the average loss increases by up to 10% and the average accuracy drops by roughly 1 point
- The authors' analysis in Section 3.1 bounds the suboptimality of solutions resulting from using a mini-batch estimators with batch size n, showing it must vanish as n increases.
- This may appear confusing, since the MLMC convergence guarantees are optimal while the mini-batch estimator achieves the optimal rate only under certain assumptions
- Recall, that these assumptions are smoothness of the loss and—for CVaR—sufficiently rapid decay of the bias floor, which the authors verify empirically.This work provides rigorous convergence guarantees for solving large-scale convex φ-divergence DRO problems with stochastic gradient methods, laying out a foundation for their use in practice; the authors conclude it by highlighting two directions for further research.
- Table1: Number of ∇ evaluations to obtain E[L(x; P0)] − infx ∈X L(x ; P0) ≤ when P0 is uniform on N training points. For simplicity we omit the Lipschitz constant of , the size of the domain X , and logarithmic factors
- Table2: Comparison wallclock time (in minutes) of the different algorithms, in terms of time per epoch and time to reach within 2% of the best training loss. In the last two columns, we report the number of epochs required to reach within 2% of the best training loss. We report ∞ for configurations that do not reach the sub-optimality goal for the duration of the experiment, and omit standard deviations when then they are 0
- Table3: Parameter settings for Theorem 1. For Lkl-CVaR we take λ log(
- Table4: Stepsizes for the experiments we present in this work. We use momentum 0.9 for all configurations except MLMC, where we do not use momentum. We select the stepsizes according to the ‘coarse-to-fine’ strategy we describe in this section
- Table5: Empirical complexity for the Digits experiment in terms of number of epochs required to reach within 2% of the optimal training objective value, averaged across 5 seeds ± one standard deviation. (For the full-batch experiments we only ran one seed). The “speed-up” column gives the ratio between the full batch complexity and the best mini-batch complexity
- Table6: Empirical complexity for the ImageNet experiment in terms of number of epochs required to reach within 2% of the optimal training objective value, averaged across 5 seeds ± one standard deviation, whenever it is not zero. (For the full-batch experiments we only ran one seed). The “speedup” column gives the ratio between the full batch complexity and the best mini-batch complexity
- Distributionally robust optimization grows from the robust optimization literature in operations research [2, 1, 3, 4], and the fundamental uncertainty about the data distribution at test time makes its application to machine learning natural. Experiments in the papers [40, 23, 17, 29, 13, 35] show promising results for CVaR (2) and χ2-constrained (3) DRO, while other works highlight the importance of incorporating additional constraints into the uncertainty set definition [33, 19, 47, 53]. Below, we review the prior art on solving these DRO problems at scale.
Full-batch subgradient method. When P0 has support of size N it is possible to compute a subgradient of the objective L(x; P0) by evaluating (x; si) and ∇ (x; si) for i = 1, . . . , N , computing the q ∈ ∆N attaining the supremum (1), whence g = N i=1 qi∇
(x; si) is a subgradient of L at x.
As the Lipschitz constant of L is at most that of , we may use these subgradients in the subgradient method  and find an approximate solution in order −2 steps. This requires order N −2 evaluations of ∇ , regardless of the uncertainty set.
- DL, YC and JCD were supported by the NSF under CAREER Award CCF-1553086 and HDR 1934578 (the Stanford Data Science Collaboratory) and Office of Naval Research YIP Award N00014-19-2288
- YC was supported by the Stanford Graduate Fellowship
- AS is supported by the NSF CAREER Award CCF-1844855
Study subjects and analysis
This scheme relies on MLMC estimators for both the gradient ∇Lχ2-pen and the derivative of Lχ2-pen with respect to λ. Proposition 4 guarantees that the second moment of our gradient estimators remain bounded by a quantity that depends logarithmically on n. For these estimators, Proposition 3 thus directly provides complexity guarantees to minimize LCVaR and Lχ2-pen
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- 0. We find it more convenient to work with ψ(t)
- 4. The objectives
- 2. By the expression (34) for ∇L we have
- 1. We have the following bound on the second moment of the estimator, E MF
- 0. Let us now upper bound Dk. To that end, we define q = 2q1k/2 + δ where δ ∈ Rk/2 is a fixed-sign vector such that qlies in ∆k/2. More precisely, if q 1 > 1, δ decreases the mass of the largest coordinate until q(1)
- 2. Where we used (i) that x and λ are feasible points in the joint minimization of fρ(x, λ) over x ∈ X and λ ∈ [λ, B/ρ]; (ii) the convexity of f in λ; and (iii) the fact that D(x, λ ) ≥ 0 and λ ≤ λ.