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Robust Learning from Bites for Data Mining

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Some methods from statistical machine learning and from robust statistics have two drawbacks. Firstly, they are computer-intensive such that they can hardly be used for massive data sets, say with millions of data points. Secondly, robust and non-parametric confidence intervals for the predictions according to the fitted models are often unknown. Here, we propose a simple but general method to overcome these problems in the context of huge data sets. The method is scalable to the memory of the computer, can be distributed on several processors if available, and can help to reduce the computation time substantially. Our main focus is on robust general support vector machines (SVM) based on minimizing regularized risks. The method offers distribution-free confidence intervals for the median of the predictions. The approach can also be helpful to fit robust estimators in parametric models for huge data sets.

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Andreas Christmann, Ingo Steinwart, Mia Hubert

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Adapt according to the presented license agreement and reference the original author.