Agnostic Estimation of Mean and Covariance

ACO Student Seminar
Friday, October 28, 2016 - 1:05pm for 1 hour (actually 50 minutes)
Skiles 005
Kevin Lai – College of Computing, Georgia Tech
Marcel Celaya
We consider the problem of estimating the mean and covariance of a distribution from iid samples in R^n in the presence of an η fraction of malicious noise; this is in contrast to much recent work where the noise itself is assumed to be from a distribution of known type. This agnostic learning problem includes many interesting special cases, e.g., learning the parameters of a single Gaussian (or finding the best-fit Gaussian) when η fraction of data is adversarially corrupted, agnostically learning a mixture of Gaussians, agnostic ICA, etc. We present polynomial-time algorithms to estimate the mean and covariance with error guarantees in terms of information-theoretic lower bounds. We also give an agnostic algorithm for estimating the 2-norm of the covariance matrix of a Gaussian. This joint work with Santosh Vempala and Anup Rao appeared in FOCS 2016.