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First Order Stochastic Optimization with Oblivious Noise

Ilias Diakonikolas · Sushrut Karmalkar · Jong Ho Park · Christos Tzamos

Great Hall & Hall B1+B2 (level 1) #1825
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[ Paper [ Poster [ OpenReview
Wed 13 Dec 8:45 a.m. PST — 10:45 a.m. PST

Abstract: We initiate the study of stochastic optimization with oblivious noise, broadly generalizing the standard heavy-tailed noise setup.In our setting, in addition to random observation noise, the stochastic gradient may be subject to independent \emph{oblivious noise}, which may not have bounded moments and is not necessarily centered. Specifically, we assume access to a noisy oracle for the stochastic gradient of $f$ at $x$, which returns a vector $\nabla f(\gamma, x) + \xi$, where $\gamma$ is the bounded variance observation noise and $\xi$ is the oblivious noise that is independent of $\gamma$ and $x$. The only assumption we make on the oblivious noise $\xi$ is that $\Pr[\xi = 0] \ge \alpha$, for some $\alpha \in (0, 1)$.In this setting, it is not information-theoretically possible to recover a single solution close to the target when the fraction of inliers $\alpha$ is less than $1/2$. Our main result is an efficient {\em list-decodable} learner that recovers a small list of candidates at least one of which is close to the true solution. On the other hand, if $\alpha = 1-\epsilon$, where $0< \epsilon < 1/2$ is sufficiently smallconstant, the algorithm recovers a single solution.Along the way, we develop a rejection-sampling-based algorithm to perform noisy location estimation, which may be of independent interest.

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