Trimmed Density Ratio Estimation

Song Liu, Akiko Takeda, Taiji Suzuki, Kenji Fukumizu

Research output: Chapter in Book/Report/Conference proceedingConference Contribution (Conference Proceeding)


Density ratio estimation is a vital tool in both machine learning and statistical community. However, due to the unbounded nature of density ratio, the estimation procedure can be vulnerable to corrupted data points, which often pushes the estimated ratio toward infinity. In this paper, we present a robust estimator which automatically identifies and trims outliers. The proposed estimator has a convex formulation, and the global optimum can be obtained via subgradient descent. We analyze the parameter estimation error of this estimator under high-dimensional settings. Experiments are conducted to verify the effectiveness of the estimator.
Original languageEnglish
Title of host publicationAdvances in Neural Information Processing Systems 30 (NIPS 2017)
Number of pages11
Publication statusPublished - 4 Dec 2017


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