Distributionally Robust Multiclass Classification and Applications in Deep CNN Image Classifiers.

We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of distributions that are close to the empirical distribution of the training set in the sense of the Wasserstein metric. We relax the DRO formulation into a regularized learning problem whose regularizer is a norm of the coefficient matrix. We establish out-of-sample performance guarantees for the solutions to our model, offering insights on the role of the regularizer in controlling the prediction error. We apply the proposed method in rendering deep CNN-based image classifiers robust to random and adversarial attacks. Specifically, using the MNIST and CIFAR-10 datasets, we demonstrate reductions in test error rate by up to 78.8% and loss by up to 90.8%. We also show that with a limited number of perturbed images in the training set, our method can improve the error rate by up to 49.49% and the loss by up to 68.93% compared to Empirical Risk Minimization (ERM), converging faster to an ideal loss/error rate as the number of perturbed images increases.