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Title: Robust Bayesian Classification Using An Optimistic Score Ratio
We build a Bayesian contextual classification model using an optimistic score ratio for robust binary classification when there is limited information on the class-conditional, or contextual, distribution. The optimistic score searches for the distribution that is most plausible to explain the observed outcomes in the testing sample among all distributions belonging to the contextual ambiguity set which is prescribed using a limited structural constraint on the mean vector and the covariance matrix of the underlying contextual distribution. We show that the Bayesian classifier using the optimistic score ratio is conceptually attractive, delivers solid statistical guarantees, and is computationally tractable. We showcase the power of the proposed optimistic score ratio classifier on both synthetic and empirical data.  more » « less
Award ID(s):
1915967
NSF-PAR ID:
10285218
Author(s) / Creator(s):
; ;
Editor(s):
III, Hal Daumé
Date Published:
Journal Name:
Proceedings of Machine Learning Research
Volume:
119
Issue:
2020
ISSN:
2640-3498
Page Range / eLocation ID:
7327--7337
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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