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Title: Misspecification in Prediction Problems and Robustness via Improper Learning
We study probabilistic prediction games when the underlying model is misspecified, investigating the consequences of predicting using an incorrect parametric model. We show that for a broad class of loss functions and parametric families of distributions, the regret of playing a ``proper'' predictor--one from the putative model class--relative to the best predictor in the same model class has lower bound scaling at least as sqrt(c n), where c is a measure of the model misspecification to the true distribution in terms of total variation distance. In contrast, using an aggregation-based (improper) learner, one can obtain regret d log n for any underlying generating distribution, where d is the dimension of the parameter; we exhibit instances in which this is unimprovable even over the family of all learners that may play distributions in the convex hull of the parametric family. These results suggest that simple strategies for aggregating multiple learners together should be more robust, and several experiments conform to this hypothesis.  more » « less
Award ID(s):
1813049 1704417
NSF-PAR ID:
10275097
Author(s) / Creator(s):
; ;
Date Published:
Journal Name:
AISTATS
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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