Version: 0.0.1
Title: Robust Regression and Estimation Through Maximum Mean Discrepancy Minimization
Description: The functions in this package compute robust estimators by minimizing a kernel-based distance known as MMD (Maximum Mean Discrepancy) between the sample and a statistical model. Recent works proved that these estimators enjoy a universal consistency property, and are extremely robust to outliers. Various optimization algorithms are implemented: stochastic gradient is available for most models, but the package also allows gradient descent in a few models for which an exact formula is available for the gradient. In terms of distribution fit, a large number of continuous and discrete distributions are available: Gaussian, exponential, uniform, gamma, Poisson, geometric, etc. In terms of regression, the models available are: linear, logistic, gamma, beta and Poisson. Alquier, P. and Gerber, M. (2024) <doi:10.1093/biomet/asad031> Cherief-Abdellatif, B.-E. and Alquier, P. (2022) <doi:10.3150/21-BEJ1338>.
License: GPL (≥ 3)
Encoding: UTF-8
RoxygenNote: 7.3.2
RdMacros: Rdpack
Imports: Rdpack (≥ 0.7)
Author: Pierre Alquier ORCID iD [aut, cre], Mathieu Gerber ORCID iD [aut]
Maintainer: Pierre Alquier <pierre.alquier.stat@gmail.com>
NeedsCompilation: no
Packaged: 2024-10-23 01:49:30 UTC; alquier
Repository: CRAN
Date/Publication: 2024-10-25 08:10:02 UTC

MMD estimation

Description

Fits a statistical models to the data, using the robust procedure based on maximum mean discrepancy (MMD) minimization introduced and studied in Briol et al. (2019); Chérief-Abdellatif and Alquier (2022).

Usage

mmd_est(x, model, par1, par2, kernel, bdwth, control= list())

Arguments

x

Data. Must be a vector for univariate models, a matrix of dimension n by d, where n is the sample size and d the dimension of the model.

model

Parametric model to be fitted to the data. No default. See details for the list of available models.

par1

First parameter of the model. In models where the first parameter is fixed, it is necessary to provide a value for par1. In models where the first parameter is estimated, par1 can be used to provide an alternative to the default initialization of the optimization algorithms.

par2

Second parameter of the model (if any). In models where the second parameter is fixed, it is necessary to provide a value for par2. In models where the first parameter is estimated,par2 can be used to provide an alternative to the default initialization of the optimization algorithms.

kernel

Kernel to be used in the MMD. Available options for kernel are "Gaussian" (Gaussian kernel), "Laplace" (Laplace, or exponential, kernel) and "Cauchy" (Cauchy kernel). By default, kernel="Gaussian"

bdwth

Bandwidth parameter for the kernel. bdwth must be a strictly positive real number. By default, the value of bdwth is chosen using the median heuristic (Garreau et al. 2017).

control

A list of control parameters for the numerical optimization of the objective function. See details.

Details

Available options for model are:

"beta"

Beta distribution with pdf ~x^{a-1}(1-x)^(b-1) on [0,1], par1=a and par2=b are both estimated.

"binomial"

Binomial distribution with pmf ~p^{x}(1-p)^{N-x} on \{0,1,...,N\}, par1=N and par2=p are both estimated. Note that in this case, if the user specifies a value for N, it is used as an upper bound rather than an initialization.

"binomial.prob"

Binomial distribution with pmf ~p^{x}(1-p)^{N-x} on \{0,1,...,N\}, par1=N is fixed and must be specified by the user while par2=p is estimated.

"binomial.size"

Binomial distribution with pmf ~p^{x}(1-p)^{N-x} on \{0,1,...,N\}, par1=N is estimated while par2=p fixed and must be specified by the user. Note that in this case, if the user specifies a value for N, it is used as an upper bound rather than an initialization.

"Cauchy"

Cauchy distribution with pdf ~1/(1+(x-m)^2), par1=m is estimated.

"continuous.uniform.loc"

Uniform distribution with pdf ~1 on [m-L/2,m+L/2], par1=m is estimated while par2=L is fixed and must be specified by the user.

"continuous.uniform.upper"

Uniform distribution with pdf ~1 on [a,b], par1=a is fixed and must be specified by the user while par2=b is estimated.

"continuous.uniform.lower.upper"

Uniform distribution with pdf ~1 on [a,b], par1=a and par2=b are estimated.

"Dirac"

Dirac mass at point a on the reals, par1=a is estimated.

"discrete.uniform"

Uniform distribution with pmf ~1 on \{1,2,..,M\}, par1=M is estimated. Note that in this case, if the user specifies a value for M, it is used as an upper bound rather than an initialization.

"exponential"

Exponential distribution with pdf ~\exp(-b x) on positive reals R_+, par1=b is estimated.

"gamma"

Gamma distribution with pdf ~x^{a-1}\exp(-b x) on positive reals R_+, par1=a>=0.5 and par2=b are estimated.

"gamma.shape"

Gamma distribution with pdf ~x^{a-1}\exp(-b x) on positive reals R_+, par1=a>=0.5 is estimated while par2=b is fixed and must be specified by the user.

"gamma.rate"

Gamma distribution with pdf ~x^{a-1}\exp(-b x) on positive reals R_+, par1=a>=0.5 is fixed and must be specified by the user while par2=b is estimated.

"Gaussian"

Gaussian distribution with pdf~\exp(-(x-m)^2/2s^2) on reals R, par1=m and par2=s are estimated.

"Gaussian.loc"

Gaussian distribution with pdf ~\exp(-(x-m)^2/2s^2) on reals R, par1=m is estimated while par2=s is fixed and must be specified by the user.

"Gaussian.scale"

Gaussian distribution with pdf ~\exp(-(x-m)^2/2s^2) on reals R, par1=m is fixed and must be specified by the user while par2=s is estimated.

"geometric"

Geometric distribution with pmf ~p(1-p)^x on \{0,1,2,...\}, par1=p is estimated.

"multidim.Dirac"

Dirac mass at point a on R^d, par1=a (d-dimensional vector) is estimated.

"multidim.Gaussian"

Gaussian distribution with pdf ~\exp(-(x-m)'U'U(x-m) on R^d, par1=m (d-dimensional vector) and par2=U (d-d matrix) are estimated.

"multidim.Gaussian.loc"

Gaussian distribution with pdf ~\exp(-\|x-m\|^2/2s^2) on R^d, par1=m (d-dimensional vector) is estimated while par2=s is fixed.

"multidim.Gaussian.scale"

Gaussian distribution with pdf ~\exp(-(x-m)'U'U(x-m) on R^d, par1=m (d-dimensional vector) is fixed and must be specified by the user while and par2=U (d-d matrix) is estimated.

"Pareto"

Pareto distribution with pmf ~1/x^{a+1} on the reals >1, par1=a is estimated.

"Poisson"

Poisson distribution with pmf ~b^x/x! on \{0,1,2,...\}, par1=b is estimated.

The control argument is a list that can supply any of the following components:

burnin

Length of the burn-in period in GD or SGD. burnin must be a non-negative integer and defaut burnin==500.

nsteps

Number of iterations performed after the burn-in period in GD or SGD. nsetps must be an integer strictly larger than 2 and by default nsteps=1000

stepsize

Stepsize parameter. An adaptive gradient step is used (adagrad), but it is possible to pre-multiply it by stepsize. It must be strictly positive number and by default stepsize=1

epsilon

Parameter used in adagrad to avoid numerical errors in the computation of the step-size. epsilon must be a strictly positive real number and by default epsilon=10^{-4}.

method

Optimization method to be used: "EXACT" for exact, "GD" for gradient descent and "SGD" for stochastic gradient descent. Not all methods are available for all models. By default, exact is preferred to GD which is prefered to SGD.

Value

MMD_est returns an object of class "estMMD".

The functions summary can be used to print the results.

An object of class estMMD is a list containing the following components:

model

Model estimated

par1

In models where the first parameter is fixed, this is the value par1 fixed by the user. In models where the first parameter is estimated, this is the initialization of the optimization procedure

par2

In models where the second parameter is fixed, this is the value par2 fixed by the user. In models where the second parameter is estimated, this is the initialization of the optimization procedure

kernel

Kernel used in the MMD

bdwth

Bandwidth used. That is, either the value specified by the user, either the bandwidth computedby the median heuristic

burnin

Number of steps in the burnin of the GD or SGD algorithm

nstep

Number of steps in the GD or SGD algorithm

stepsize

Stepize parameter in GD or SGD

epsilon

Parameter used in adagrad to avoid numerical errors in the computation of the step-size

method

Optimization method used

error

Error message (if any)

estimator

Estimated parameter(s)

type

Takes the value "est"

References

Briol F, Barp A, Duncan AB, Girolami M (2019). “Statistical inference for generative models with maximum mean discrepancy.” arXiv preprint arXiv:1906.05944.

Chérief-Abdellatif B, Alquier P (2022). “Finite Sample Properties of Parametric MMD Estimation: Robustness to Misspecification and Dependence.” Bernoulli, 28(1), 181-213.

Garreau D, Jitkrittum W, Kanagawa M (2017). “Large sample analysis of the median heuristic.” arXiv preprint arXiv:1707.07269.

Examples

#simulate data
x = rnorm(50,0,1.5)

# estimate the mean and variance (assuming the data is Gaussian)
Est = mmd_est(x, model="Gaussian")

# print a summary
summary(Est)

# estimate the mean (assuming the data is Gaussian with known standard deviation =1.5)
Est2 = mmd_est(x, model="Gaussian.loc", par2=1.5)

# print a summary
summary(Est2)

# estimate the standard deviation (assuming the data is Gaussian with known mean = 0)
Est3 = mmd_est(x, model="Gaussian.scale", par1=0)

# print a summary
summary(Est3)

# test of the robustness
x[42] = 100

mean(x)

# estimate the mean and variance (assuming the data is Gaussian)
Est4 = mmd_est(x, model="Gaussian")
summary(Est4)

MMD regression

Description

Fits a regression model to the data, using the robust procedure based on maximum mean discrepancy (MMD) minimization introduced and studied in Alquier and Gerber (2024).

Usage

mmd_reg(y, X, model, intercept, par1, par2, kernel.y, kernel.x, bdwth.y, bdwth.x, 
        control= list())

Arguments

y

Response variable. Must be a vector of length n\geq 3.

X

Design matrix. X must be either a matrix of dimension n\times p or a vector of size n, where n is the size of y.

model

Regression model to be fitted to the data. By default, the linear regression model with \mathcal{N}_1(0,\phi^2) error terms is used. See details for the list of available models.

intercept

If intercept=TRUE an intercept is added to the model, while no intercept is added if intercept=FALSE. By default, intercept=TRUE.

par1

Values of the regression coefficients of the model used as starting values to numerically optimize the objective function. par1 must be either a vector of size p, with p the number of columns of X (or with p=1 if X is a vector), or equal to "auto", in which case a non-robust estimate of the regression coefficients of the model is used as starting values. By default, par1="auto".

par2

A value for the auxilliary parameter \phi of the model. par2 needs to be specified only if relevant (see details for the list of models having an auxilliary parameter \phi). If the model assumes that \phi is known (see details) then par2 must be a strictly positive real number and the model is estimated with \phi=par2. If the model assumes that \phi is unknown (see details) then the value specified by par2 is used as starting value to numerically optimize the objective function. For such models par2 must be either a strictly positive real number or equal to "auto", in which case a non-robust estimate of \phi is used as starting value. By default, par2="auto".

kernel.y

Kernel applied on the response variable. Available options for kernel.y are "Gaussian" (Gaussian kernel), "Laplace" (Laplace, or exponential, kernel) and "Cauchy" (Cauchy kernel). By default, kernel.y="Gaussian" for the linear regression model and kernel.y="Laplace" for the other models.

kernel.x

Kernel applied on the explanatory variables. Available options for kernel.x are "Gaussian" (Gaussian kernel), "Laplace" (Laplace, or exponential, kernel) and "Cauchy" (Cauchy kernel). By default, kernel.x="Laplace".

bdwth.y

Bandwidth parameter for the kernel kernel.y. bdwth.y must be eiter a strictly positive real number or equal to "auto", in which case the median heuristic is used to select the bandwidth parameter of kernel.y (see details). By default, bdwth.y="auto".

bdwth.x

Bandwidth parameter for the kernel kernel.x. bdwth.x must be either a non-negative real number or equal to "auto", in which case a rescaled version of the median heuristic is used to specify the bandwidth parameter of kernel.x (see details). By default, bdwth.x=0. Remark: for computational reasons, for large dataset (i.e.~when the sample size is bigger than a few thousands) it is recommended to choose bdwth.x=0 (see details).

control

A list of control parameters for the numerical optimization of the objective function. See details.

Details

Available options for model are:

"linearGaussian"

Linear regression model with \mathcal{N}_1(0,\phi^2) error terms, with \phi unknown.

"linearGaussian.loc"

Linear regression model with \mathcal{N}_1(0,\phi^2) error terms, with \phi known.

"gamma"

Gamma regression model with unknown shape parameter \phi. The inverse function is used as link function.

"gamma.loc"

Gamma regression model with known shape parameter \phi. The inverse function is used as link function.

"beta"

Beta regression model with unknown precision parameter \phi. The logistic function is used as link function.

"beta.loc"

Beta regression model with known precision parameter \phi. The logistic function is used as link function.

"logistic"

Logistic regression model.

"exponential"

Exponential regression.

"poisson"

Poisson regression model.

When bdwth.x>0 the function reg_mmd computes the estimator \hat{\theta}_n introduced in Alquier and Gerber (2024). When bdwth.x=0 the function reg_mmd computes the estimator \tilde{\theta}_n introduced in Alquier and Gerber (2024). The former estimator has stronger theoretical properties but is more expensive to compute (see below).

When bdwth.x=0 and model is "linearGaussian", "linearGaussian.loc" or "logistic", the objective function and its gradient can be computed on \mathcal{O}(n) operations, where n is the sample size (i.e. the dimension of y). In this case, gradient descent with backtraking line search is used to perform the minimizatiom. The algorithm stops when the maximum number of iterations maxit is reached, or as soon as the change in the objective function is less than eps_gd times the current function value. In the former case, a warning message is generated. By defaut, maxit=5\times 10^4 and eps_gd=sqrt(.Machine$double.eps), and the value of these two parameters can be changed using the control argument of reg_mmd.

When bdwth.x>0 and model is "linearGaussian", "linearGaussian.loc" or "logistic", the objective function and its gradient can be computed on \mathcal{O}(n^2) operations. To reduce the computational cost the objective function is minimized using norm adagrad (Duchi et al. 2011), an adaptive step size stochastic gradient algorithm. Each iteration of the algorithm requires \mathcal{O}(n) operations. However, the algorithm has an intialization step that requires \mathcal{O}(n^2) operations and has a memory requirement of size \mathcal{O}(n^2).

When model is not in c("linearGaussian", "linearGaussian.loc", "logistic"), the objective function and its gradient cannot be computed explicitly and the minimization is performed using norm adagrad. The cost per iteration of the algorithm is \mathcal{O}(n) but, for bdwth.x>0, the memory requirement and the initialization cost are both of size \mathcal{O}(n^2).

When adagrad is used, burnin iterations are performed as a warm-up step. The algorithm then stops when burnin+maxit iterations are performed, or as soon as the norm of the average value of the gradient evaluations computed in all the previous iterations is less than eps_sg. A warning message is generated if the maximum number of iterations is reached. By default, burnin=10^3, nsteps=5\times 10^4 and eps_sg=10^{-5} and the value of these three parameters can be changed using the control argument of reg_mmd.

If bdwth.y="auto" then the value of the bandwidth parameter of kernel.y is equal to H_n/\sqrt{2} with H_n the median value of the set \{|y_i-y_j|\}_{i,j=1}^n, where y_i denote the ith component of y. This definition of bdwth.y is motivated by the results in Garreau et al. (2017). If H_n=0 the bandwidth parameter of kernel.y is set to 1.

If bdwth.x="auto" then the value of the bandwidth parameter of kernel.x is equal to 0.01H_n/\sqrt{2} with H_n is the median value of the set \{\|x_i-x_j\|\}_{i,j=1}^n, where x_i denote the ith row of the design matrix X. If H_n=0 the bandwidth parameter of kernel.x is set to 1.

The control argument is a list that can supply any of the following components:

rescale:

If rescale=TRUE the (non-constant) columns of X are rescalled before perfoming the optimization, while if rescale=FLASE no rescaling is applied. By default rescale=TRUE.

burnin

A non-negative integer.

eps_gd

A non-negative real number.

eps_sg

A non-negative real number.

maxit

A integer strictly larger than 2.

stepsize

Scaling constant for the step-sizes used by adagrad. stepsize must be a stictly positive number and by default stepsize=1.

trace:

If trace=TRUE then the parameter value obtained at the end of each iteration (after the burn-in perdiod for adagrad) is returned. By default, trace=TRUE and trace is automatically set to TRUE if the maximum number of iterations is reached.

epsilon

Parameter used in adagrad to avoid numerical errors in the computation of the step-sizes. epsilon must be a strictly positive real number and by default epsilon=10^{-4}.

alpha

Parameter for the backtraking line search. alpha must be a real number in (0,1) and by default alpha=0.8.

c_det

Parameter used to control the computational cost of the algorithm when gamma.x>0, see the Suplementary material in Alquier and Gerber (2024) for mode details. c_det must be a real number in (0,1) and by default c_det=0.2.

c_rand

Parameter used to control the computational cost of the algorithm when bdwth.x>0, see the Suplementary material in Alquier and Gerber (2024) for mode details. c_rand must be a real number in (0,1) and by default c_rand=0.1.

Value

MMD_reg returns an object of class "regMMD".

The function summary can be used to print the results.

An object of class regMMD is a list containing the following components:

coefficients

Estimated regression coefficients.

intercept

If intercept=TRUE an intercept has been added to model, if intercept=FALSE no intercept has been added.

phi

If relevant (see details), either the estimated value of the \phi parameter of model, or the value of \phi used to fit the model if \phi is assumed to be known.

kernel.y

Kernel applied on the response variable used to fit the model.

bdwth.y

Value of the bandwidth for the kernel applied on the response variable used to fit the model.

kernel.x

Kernel applied on the explanatory variables used to fit the model.

bdwth.x

Value of the bandwidth for the kernel applied on the explanatory variables used to fit the model.

par1

Value of the parameter par1 used to fit the model.

par2

Value of parameter par2 used to fit the model.

trace

If the control parameter trace=TRUE, trace is a matrix containing the parameter values obtained at the end of each iteration of the optimization algorithm.

References

Alquier P, Gerber M (2024). “Universal robust regression via maximum mean discrepancy.” Biometrika, 111(1), 71-92.

Duchi J, Hazan E, Singer Y (2011). “Adaptive subgradient methods for online learning and stochastic optimization.” Journal of machine learning research, 12(7), 2121-2159.

Garreau D, Jitkrittum W, Kanagawa M (2017). “Large sample analysis of the median heuristic.” arXiv preprint arXiv:1707.07269.

Examples

#Simulate data
n<-1000
p<-4
beta<-1:p
phi<-1
X<-matrix(data=rnorm(n*p,0,1),nrow=n,ncol=p)
data<-1+X%*%beta+rnorm(n,0,phi)

##Example 1: Linear Gaussian model 
y<-data
Est<-mmd_reg(y, X)
summary(Est)

##Example 2: Logisitic regression model
y<-data
y[data>5]<-1
y[data<=5]<-0
Est<-mmd_reg(y, X, model="logistic")
summary(Est)
Est<-mmd_reg(y, X, model="logistic", bdwth.x="auto")
summary(Est)

Summary method for the class "estMMD"

Description

Summary method for the class "estMMD"

Usage

## S3 method for class 'estMMD'
summary(object, ...)

Arguments

object

An object of class "estMMD".

...

Additional arguments (not used).

Value

No return value, called only to print information on the output of "estMMD".

Summary method for the class "regMMD"

Description

Summary method for the class "regMMD"

Usage

## S3 method for class 'regMMD'
summary(object, ...)

Arguments

object

An object of class "regMMD".

...

Additional arguments (not used).

Value

No return value, called only to print information on the output of "regMMD".

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