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Poster
An Online Method for A Class of Distributionally Robust Optimization with Non-convex Objectives
Qi Qi · Zhishuai Guo · Yi Xu · Rong Jin · Tianbao Yang

Tue Dec 07 08:30 AM -- 10:00 AM (PST) @ None #None
in Poster Session 1 »

In this paper, we propose a practical online method for solving a class of distributional robust optimization (DRO) with non-convex objectives, which has important applications in machine learning for improving the robustness of neural networks. In the literature, most methods for solving DRO are based on stochastic primal-dual methods. However, primal-dual methods for DRO suffer from several drawbacks: (1) manipulating a high-dimensional dual variable corresponding to the size of data is time expensive; (2) they are not friendly to online learning where data is coming sequentially. To address these issues, we consider a class of DRO with an KL divergence regularization on the dual variables, transform the min-max problem into a compositional minimization problem, and propose practical duality-free online stochastic methods without requiring a large mini-batch size. We establish the state-of-the-art complexities of the proposed methods with and without a Polyak-Łojasiewicz (PL) condition of the objective. Empirical studies on large-scale deep learning tasks (i) demonstrate that our method can speed up the training by more than 2 times than baseline methods and save days of training time on a large-scale dataset with ∼ 265K images, and (ii) verify the supreme performance of DRO over Empirical Risk Minimization (ERM) on imbalanced datasets. Of independent interest, the proposed method can be also used for solving a family of stochastic compositional problems with state-of-the-art complexities.

Keywords: Deep Learning · Optimization · Machine Learning · Robustness · Online Learning

Author Information

Qi Qi (University of Iowa)
Zhishuai Guo (University of Iowa)
Yi Xu (Alibaba Group U.S. Inc.)
Rong Jin (Alibaba)
Tianbao Yang (The University of Iowa)

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