Adaptive sampling for stochastic risk-averse learning

Sebastian Curi, Kfir Y. Levy, Stefanie Jegelka, Andreas Krause

Research output: Contribution to journalConference articlepeer-review

22 Scopus citations


In high-stakes machine learning applications, it is crucial to not only perform well on average, but also when restricted to difficult examples. To address this, we consider the problem of training models in a risk-averse manner. We propose an adaptive sampling algorithm for stochastically optimizing the Conditional Value-at-Risk (CVaR) of a loss distribution, which measures its performance on the α fraction of most difficult examples. We use a distributionally robust formulation of the CVaR to phrase the problem as a zero-sum game between two players, and solve it efficiently using regret minimization. Our approach relies on sampling from structured Determinantal Point Processes (DPPs), which enables scaling it to large data sets. Finally, we empirically demonstrate its effectiveness on large-scale convex and non-convex learning tasks.

Original languageEnglish
JournalAdvances in Neural Information Processing Systems
StatePublished - 2020
Externally publishedYes
Event34th Conference on Neural Information Processing Systems, NeurIPS 2020 - Virtual, Online
Duration: 6 Dec 202012 Dec 2020


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