Mirror Image

Mostly AR and Stuff

Robust estimators II

In this post I was complaining that I don’t know what breakdown point for redescending M-estimators is. Now I found out that upper bound for breakdown point of redescending of M-estimators was given by Mueller in 1995, for linear regression (that is statisticians word for simple estimation of p-dimensional hyperplane):
\frac{1}{N}(\frac{N - \mathcal{N}(x) + 1)}{2})
N – number of measurements and \mathcal{N}(x) is little tricky: it is a maximum number of measurement vectors X lying in the same p-dimensional hyperplane. If number of measurements N >> p that mean breakdown point is near 50% – You can have half measurement results completely out of the blue and estimator will still work.
That only work if the error present only in results of measurements, which is reasonable condition – in most cases we can move random error from x part to y part.
Now which M-estimators attain this upper bound?
The condition is “slow variation”(Mizera and Mueller 1999)
\lim_{t\to \infty} \frac{\rho(t x)}{\rho(t)} = 1
Mentioned in previous post Cauchy estimator is satisfy that condition:
\rho(x) = -\ln(1 +(\frac{x}{\gamma})^2) and its derivative \psi(x) = \frac{x}{\gamma^2+ x^2}
In practice we always work with \psi, not \rho so Cauchy estimator is easy to calculate.
Rule of the thumb: if you don’t know which robust estimator to use, use Cauchy: It’s fast(which is important in real time apps), its easy to understand, it’s differentiable, and it is as robust as possible (that is for redescending M-estimator)

Advertisements

19, April, 2011 Posted by | computer vision, sci | , , , , | Comments Off on Robust estimators II

Robust estimators – understand or die… err… be bored trying

This is continuation of my attempt to understand internal mechanics of robust statistics. First I want to say that robust statistics “just works”. It’s not necessary to have deep understanding of it to use it and even to use it creatively. However without that deeper understanding I feel myself kind of blind. I can modify or invent robust estimators empirically, but I can not see clearly the reasons, why use this and not that modification.
Now about robust estimators. They could be divided into two groups: maximum likelihood estimators(M-estimators), which in case of robust statistics usually, but not always are redescending estimators (notable not redescending estimator is L_1 norm), and all the rest of estimators.
This second “all the rest” group include subset of L-estimators(think of median, which is also M-estimator with L_1 norm.Yea, it’s kind of messy), S-estimators (use global scale estimation for all the measurements) R-estimators, which like L-estimator use order statistics but use it for weights. There may be some others too, but I don’t know much about this second group.
It’s easy to understand what M-estimators do: just find the value of parameter which give maximum probability of given set of measurements.
argmax_{\theta}  \prod_{i=1}^{n}p ( x_i\mid\theta)
or
argmin_{\theta}\sum_{i=1}^{n}  -ln(p(x_i|\theta))
which give us traditional M-estimator form
argmin_{\theta}\sum_{i=1}^n \rho(x_i, \theta)
or
\sum_{i=1}^n \psi(x_i, \theta) = 0, \psi = \frac{\partial \rho}{\partial \theta}
Practically we are usually work not with measurements per se, but with some distribution of cost function F(x,\theta) of the measurements \rho(x, \theta) = p(F(x, \theta)), so it become
\sum_{i=1}^n \psi(x_i, \theta)\frac{\partial F(x_i,\theta)}{\partial \theta} = 0
it’s the same as the previous equation just \psi defined in such a way as to separate statistical part from cost function part.
Now if we make a set of weights w_i = \frac{\psi_i}{F_i} it become
\sum_{i=1}^n w_i(x_i, \theta) F(x_i, \theta) \frac{\partial F(x_i,\theta)}{\partial \theta} = 0
We see that it could be considered as “nonlinear least squares”, which could be solved with iteratively reweighted least squares
Now for second group of estimators we have probability of joint distribution
argmax_{\theta}  \prod_{i=1}^{n}p ( x_i\mid x_{j, j\neq i}, \theta)
All the global factors – sort order, global scale etc. are incorporated into measurements dependence.
It seems the difference between this formulation of second group of estimators and M-estimator is that conditional independence assumption about measurements is dropped.
Another interesting thing is that if some of measurements are not dependent on others, this formulation can get us bayesian network

Now lets return to M-estimators. M-estimator is defined by assumption about probability distribution of the measurements.
So M-estimator and probabilistic distribution through which it is defined are essentially the same. Least squares, for example, is produced by normal(gausssian) distribution. Just take sum of logarithms of gaussian and you get least squares estimator.
If we are talking about normal (pun intended), non-robust estimator, their defining feature is finite variance of distribution.
We have central limit theorem which saying that for any distribution mean value of samples will have approximately normal(or Gaussian) distribution.
From this follow property of asymptotic normality – for estimator with finite variance its distribution around true value of parameter \theta approximate normal distribution.
We are discussing robust estimators, which are stable to error and have “thick-tailed” distribution, so we can not assume finite variance of distribution.
Nevertheless to have “true” result we want some form of probabilistic convergence of measurements to true value. As it happens such class of distribution with infinite variance exists. It’s called alpha-stable distributions.
Alpha stable distribution are those distributions for which linear combination of random variables have the same distribution, up to scale factor. From this follow analog of central limit theorem for stable distribution.
The most well known alpha-stable distribution is Cauchy distribution, which correspond to widely used redescending estimator
\psi(x) = \frac {x} {\varepsilon + x^2}
Cauchy distribution can be generalized in several way, including recent GCD – generalized Cauchy distribution(Carrillo et al), with density function
p\Gamma(p/2)/2\Gamma(1/p)^2(\sigma^p + x^p)^{-2/p}
and estimator
\psi(x)=\frac{p|x|^{p-1}sgn(x)}{\sigma^p + x^p}
Carrillo also introduce Cauchy distribution-based “norm” (it’s not a real norm obviously) which he called “Lorentzian norm”
||u||_{LL_p} = \sum ln(1 + \frac{|u_i|^p}{\sigma^p})
{LL_2} is correspond classical Cauchy distribution
He successfully applied Lorentzian norm {LL_2} based basis pursuit to compressed sensing problem, which support idea that compressed sensing and robust statistics are dual each other.

15, April, 2011 Posted by | sci | , , , , , | Comments Off on Robust estimators – understand or die… err… be bored trying

Is Robust Statistics have formal mathematical foundation?

As I have already written I have a trouble understanding what robust estimators actually estimate from probabilistic or other formal point of view. I mean estimators which are not maximum likelihood estimators. There is a formal definition which doesn’t explain a lot to me. It looks like estimator estimate some quantity, and we know how good we are at estimating it, but how we know what we are actually estimate? Or does this question even make sense? But that is actually a minor bummer. A problem with understanding outliers is a lot worse for me. A breakdown point is a fundamental concept in robust statistics. And breakdown point is defined as a relative number of outliers in the sample set. The problem is, it seems there is no formal definition of outlier in statistics or probability theory. We can talk about mixture models, and tail distributions but those concepts are not quite consistent with breakdown point. Breakdown point looks like it belong to area of optimization/topology, not statistics. Could it be that outliers could be defined consistently only if we have some additional structural information/constraints beside statistical (distribution)? That inability to reconcile statistics and optimization is a problem which causing cognitive headache for me.

11, April, 2011 Posted by | sci | , , , , | Comments Off on Is Robust Statistics have formal mathematical foundation?

Minimum sum of distance vs L1 and geometric median

All this post is just a more detailed explanation of the end of the previous post.
Assume we want to estimating a state x \in R^n from m \gg n noisy linear measurements y \in R^m, y = Ax + z, z – noise with outliers, like in the paper by Sharon, Wright and Ma Minimum Sum of Distances Estimator: Robustness and Stability
Sharon at al show that minimum L_1 norm estimator, that is
arg \min_{x}  \sum_{i=1}^{m} \| a_i^T x - y_i \|_{1}
is a robust estimator with stable breakdown point, not depending on the noise level. What Sharon did was to use as cost function the sum of absolute values of all components of errors vector. However there are exists another approach.
In one-dimensional case minimum L_1 norm is a median.But there exist generalization of median to R^ngeometric median. In our case it will be
arg \min_{x}  \sum_{i=1}^{m} \| A x - y_i \|_{2}
That is not a least squares – minimized the sum of L_2 norm, not the sum of squares of L_2 norm.
Now why is this a stable and robust estimator? If we look at the Jacobian
\sum_{i=1}^{m} A^T \frac{A x - y_i}{ \| A x - y_i \|_{2}}
we see it’s asymptotically constant, and it’s norm doesn’t depend on the norm of the outliers. While it’s not a formal proof it’s quite intuitive, and can probably be formalized along the lines of Sharon paper.
While first approach with L_1 norm can be solved with linear programming, for example simplex method and interior point method, the second approach with L_2 norm can be solved with second order cone programming and …surprise, interior point method again.
For interior point method, in both cases original cost function is replaced with
\sum f
And the value of f is defined by constraints. For L_1
f_{i} \ge a_ix-y_i, f_{i} \ge -a_ix+y_i
Sometimes it’s formulated by splitting absolute value is into the sum of positive and negative parts
f_{+_{i}} \ge a_ix-y_i, f_{-_{i}} \ge -a_ix+y_i, f_{+_{i}} \ge 0, f_{-_{i}} \ge 0
And for L_2 it’s a simple
f_i \ge \| A x - y_i \|_{2}
Formulations are very similar, and stability/performance are similar too (there was a paper about it, just had to dig it out)

10, April, 2011 Posted by | sci | , , , , , | 2 Comments

L1, robust statisrics and compressed sensing

Anyone who did 3D reconstruction and camera pose estimation know, that outliers one of the main, if not the main problem there. There are several ways to deal with outliers, RANSAC and trimming are probably most common. Both of them has major drawback though – they based on the initial error estimation. But for example, in pose estimation, situation where the wrong values have initial error order of magnitude less then correct values is quite common. RANSAC and trimming would make situation worse in that case. What really work there are robust estimators, which is, in many cases just statisticians name for reweighted iterative least square.
Now why and how robust estimators works is really interesting. Basically robust estimator is a maximum likelihood estimator for non-normal distribution, that is distribution with “thick” tail. One of the simplest of robust estimators is L1, which correspond to Laplace distribution. Laplace distribution descend more slow than normal distribution, so it’s obviously more robust. And now the really interesting things start. L1 estimator is the fundamental concept of compressed sensing. And compressed sensing is all about finding “sparse” solution, that is solution which are mostly zeros, but with few components are quite big. And what outliers are? They are exactly “sparse” big components of error vector. If we have linear system with noise in right part, and the noise is dominated by small number of really big outliers then, as Terence Tao pointed out, we can multiply both part of the system on the appropriate matrix and get a sparse system of equations for outliers. That would be a classical compressed sensing problem, for which L1 minimization works perfectly. Recently it was proven, using compressed sensing inspired technique, that L1 estimator for system with outliers really behave similar to L1 minimizer for sparse solutions – it has stable breaking point(Sharon, Wright, Ma, Minimum Sum of Distances Estimator: Robustness and Stability).
That make me think about things I really don’t understand – what is connection between other, redescending estimators and L1 estimator? In practical applications redescending estimators often works better than L1. But redescending estimators practically is not much different form trimming. Does it mean that they are just convenient shortcuts, and in general case L1 is more robust?(One drawback of redescending estimator that it can has multiple local minima) Which assumptions about outliers we should do to to choose most appropriate estimator? I would like to read some theory of redescending estimators, their breaking point and especially their relation to L1, but so far not sure even where to start…
(PPS In this post I talk more about Mueller work on redescending M-estimators which partially answer the question)

PS Another interesting (for me that is, for someone else it could be trivial) problem is dimensionality. For 1-dimensional variable L1 and distance is the same. For vector they are not. So for vector-valued variables estimator “minimum sum of distance” estimator is not the same as L1 estimator. Would be L1 more robust than “minimum sum of distance” for vectors? Compressed sensing logic say that it should, but L1 estimator is anisotropic, it depend on coordinate system. That is for L1 to be effective the outliers should be aligned with coordinate system. Here there is the difference between overall dimensionality of the problem -number of samples and “micro” dimensionality – dimensionality of each sample. I’ll try to sort it out later.

2, April, 2011 Posted by | sci | , , , , | 2 Comments