Median-of-Means as an Extremal Convex Estimator and a Nonconvex Route to the Trimmed Oracle
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Abstract (arXiv)
We revisit median-of-means estimation from a deterministic optimization viewpoint and develop a family of block-Lp estimators for robust learning with heavy-tailed and adversarially corrupted data. In a block contamination model with at least a fraction 1 minus epsilon of good blocks, we first show that every convex block M-estimator has worst-case robustness constant at least 1 divided by 1 minus 2 epsilon. This matches the classical median-of-means bound and proves that the trimmed-block oracle constant 1 divided by 1 minus epsilon cannot be attained within the convex class. We then introduce a nonconvex block-Lp family for p between 0 and 1 and derive finite-sample deterministic robustness bounds for all global minimizers. As p decreases from 1 toward 0, these bounds continuously approach the trimmed-block oracle constant. For sufficiently small p, the global minimizers coincide with those of the oracle under a mild separation condition. We also show that the block-Lp objectives have a benign landscape, with all local minima remaining close to the truth and no bad basins. Combining these results with block-level concentration yields sub-Gaussian deviation bounds under finite 2 plus delta moments and high-dimensional extensions to robust mean estimation and sparse regression.
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References · 8
- 2016Robust Estimators in High Dimensions without the Computational Intractabilitycited by 209
- 2019Mean estimation and regression under heavy-tailed distributions--a surveycited by 136
- 2013Loss minimization and parameter estimation with heavy tailscited by 50
- 2017Sub-Gaussian estimators of the mean of a random vectorcited by 47
- 2014Empirical risk minimization for heavy-tailed lossescited by 37
- 2023A Huber Loss Minimization Approach to Byzantine Robust Federated Learningcited by 16
- 2023Efficient median of means estimatorcited by 7
- 2024Federated Learning Resilient to Byzantine Attacks and Data Heterogeneitycited by 4
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