﻿ p-Huber损失函数及其鲁棒性研究

# p-Huber损失函数及其鲁棒性研究p-Huber Loss Functions and Its Robustness

Abstract: The data is often contaminated by outliers because of the complexity of the real data in the real applications. Hence it is getting more and more important to invent some statistical machine learning algorithms that are robust to outliers. In this paper, we propose a robust and non-convex p-Huber loss function based on the Huber loss. In the numerical analysis, the fitting effect of regression learning algorithm based on p-Huber loss and regression algorithm based on L1 loss, Huber loss and MCCR loss are compared. The numerical results show that the p-Huber loss function outperforms all of other common loss functions mentioned in the paper when there are outliers in the data.

Abstract:

1. 引言

$Y={f}^{\ast }\left(X\right)+\epsilon$$Ε\left(\epsilon |X=x\right)=0$(1.1)

${\varphi }^{\text{L2}}\left(y,f\left(x\right)\right)={\left(y-f\left(x\right)\right)}^{2}$(1.2)

${\varphi }^{\text{L1}}\left(y,f\left(x\right)\right)=|y-f\left(x\right)|$(1.3)

L1损失比L2损失更具鲁棒性，但它的中心点是折点，因此不能求导，从而不易于求解。

P. J. Huber等 [2] 在1964年提出了Huber损失函数，如图1(c)，其定义如下：

${\varphi }^{\text{Huber}}\left(y,f\left(x\right)\right)=\left\{\begin{array}{l}0.5{\left(y-f\left(x\right)\right)}^{2},\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{ }\text{\hspace{0.17em}}|y-f\left(x\right)|<\delta ,\\ \delta |y-f\left(x\right)|-0.5{\delta }^{2},\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}|y-f\left(x\right)|\ge \delta ,\end{array}$ (1.4)

${\varphi }^{\text{MCCR}}\left(y,f\left(x\right)\right)={\sigma }^{2}\left(1-{\text{e}}^{\frac{{\left(y-f\left(x\right)\right)}^{2}}{{\sigma }^{2}}}\right)$(1.5)

(a) (b) (c) (d)

Figure 1. Diagram of four loss functions

2. p-Huber损失函数及回归算法

2.1. p-Huber损失函数

${\varphi }^{p\text{-Huber}}\left(y,f\left(x\right)\right)=\left\{\begin{array}{l}{\left(y-f\left(x\right)\right)}^{2},\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}|y-f\left(x\right)|<\delta ,\\ \frac{2{\delta }^{2-p}}{p}{|y-f\left(x\right)|}^{p}-\frac{2-p}{p}{\delta }^{2},\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{ }\text{\hspace{0.17em}}|y-f\left(x\right)|\ge \delta ,\end{array}$ (2.1)

$p=0.5$, $\delta =1$ $p=1$, $\delta =1$ $p=2$, $\delta =1$ (a)

$p=0.5$, $\delta =0.1$ $p=0.5$, $\delta =1$ $p=0.5$, $\delta =2$(b)

Figure 2. Diagram of different parameters of p-Huber loss

2.2. 基于p-Huber损失的学习算法

${\mathcal{E}}_{z}\left(f\right)=\frac{1}{m}\underset{i=1}{\overset{m}{\sum }}{\varphi }^{p\text{-Huber}}\left({y}_{i},f\left({x}_{i}\right)\right)$

${f}_{z}=\mathrm{arg}\underset{f\in \mathcal{H}}{\mathrm{min}}\frac{1}{m}\underset{i=1}{\overset{m}{\sum }}{\varphi }^{p\text{-Huber}}\left({y}_{i},f\left({x}_{i}\right)\right)$(2.2)

${f}_{z}=\mathrm{arg}\underset{f\in {\mathcal{H}}_{\mathcal{K}}}{\mathrm{min}}\frac{1}{m}\underset{i=1}{\overset{m}{\sum }}{\varphi }^{p\text{-Huber}}\left({y}_{i},f\left({x}_{i}\right)\right)+\lambda {‖f‖}_{\mathcal{K}}^{2}$(2.3)

${\mathcal{H}}_{\mathcal{K}}=\left\{\underset{i=1}{\overset{m}{\sum }}{\alpha }_{i}\mathcal{K}\left(x,{x}_{i}\right)+b,b\in ℝ,{\alpha }_{i}\in ℝ,i=1,\cdots ,m\right\}$

${\mathcal{K}}_{h}\left({x}_{i},{x}_{j}\right)=\mathrm{exp}\left(-{‖{x}_{i}-{x}_{j}‖}^{2}/{h}^{2}\right)$

3. 仿真实验

3.1. 实验平台及噪声介绍

$\text{noise}:={\tau }_{1}{\epsilon }_{1}+{\tau }_{2}{\epsilon }_{2}^{p}$(3.1)

$\text{Prob}\left({\epsilon }_{2}^{p}=t\right)=\left\{\begin{array}{l}1-p,\text{\hspace{0.17em}}\text{\hspace{0.17em}}t=0,\\ p/2,\text{\hspace{0.17em}}\text{\hspace{0.17em}}\text{\hspace{0.17em}}t=1,\\ p/2,\text{\hspace{0.17em}}\text{\hspace{0.17em}}t=-1.\end{array}$

3.2. 辛格函数下的评估

$f\left(x\right)=\mathrm{sin}\left(\pi x\right)/\left(\pi x\right),x\in \left[-4,4\right]$(3.2)

Figure 3. One-dimensional Sincfunction graph

Figure 4. The fitting effect diagram of different models to the Sinc function when contaminated by Gaussian noise

Figure 5. The fitting effect diagram of different models to the Sinc function when contaminated by Gaussian noise and outliers

$\text{RSSE}\left(\stackrel{^}{f}\right)=\underset{x\in T}{\sum }{\left(f\left(x\right)-\stackrel{^}{f}\left(x\right)\right)}^{2}/\underset{x\in T}{\sum }{\left(f\left(x\right)-{\stackrel{¯}{f}}_{T}\right)}^{2}$(3.3)

Table 1. When δ = 0.7 , different values p predict the result of Sinc function

Table 2. When p = 2.53 , different values δ predict the result of Sinc function

3.3. 弗里德曼基准函数下的评估

${f}_{1}\left(x\right)=10\mathrm{sin}\left(\pi {x}^{1}{x}^{2}\right)+20{\left({x}^{3}-0.5\right)}^{2}+10{x}^{4}+5{x}^{5}$

${f}_{2}\left(x\right)=\sqrt{{\left({x}^{1}\right)}^{2}+{\left({x}^{2}{x}^{3}-1/\left({x}^{2}{x}^{4}\right)\right)}^{2}}$

${f}_{3}\left(x\right)=\mathrm{arctan}\left(1/{x}^{1}\left({x}^{2}{x}^{3}-1/\left({x}^{2}{x}^{4}\right)\right)\right)$

${\left\{{y}_{i}-f\left({x}_{i}\right)\right\}}_{i=1}^{100}$ 都记录下来。对于每个回归模型，其平方误差相对和记录在表3

Table 3. The prediction results of different models on Friedman’s benchmark function

3.4. 真实数据集下的评估

Table 4. The prediction results of different models on real data

4. 结语

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[8] Gearhart, W.B. and Schulz, H.S. (1990) The Function Sinx/x. The College Mathematics Journal, 21, 90-99.
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