Stable Prediction with Model Misspecification and Agnostic Distribution Shift

TL;DR

This paper introduces a Decorrelated Weighting Regression (DWR) algorithm designed to enhance prediction stability and accuracy under model misspecification and distribution shifts, common challenges in real-world machine learning applications.

Contribution

The paper proposes a novel DWR algorithm that jointly optimizes variable decorrelation and weighted regression to address model misspecification and distribution shift.

Findings

DWR significantly improves parameter estimation accuracy.

DWR enhances prediction stability across unknown test data.

Experimental results demonstrate the effectiveness of DWR under challenging conditions.

Abstract

For many machine learning algorithms, two main assumptions are required to guarantee performance. One is that the test data are drawn from the same distribution as the training data, and the other is that the model is correctly specified. In real applications, however, we often have little prior knowledge on the test data and on the underlying true model. Under model misspecification, agnostic distribution shift between training and test data leads to inaccuracy of parameter estimation and instability of prediction across unknown test data. To address these problems, we propose a novel Decorrelated Weighting Regression (DWR) algorithm which jointly optimizes a variable decorrelation regularizer and a weighted regression model. The variable decorrelation regularizer estimates a weight for each sample such that variables are decorrelated on the weighted training data. Then, these weights are used in the weighted regression to improve the accuracy of estimation on the effect of each variable, thus help to improve the stability of prediction across unknown test data. Extensive experiments clearly demonstrate that our DWR algorithm can significantly improve the accuracy of parameter estimation and stability of prediction with model misspecification and agnostic distribution shift.