Outlier-robust Estimation of a Sparse Linear Model Using Invexity

Abstract

In this paper, we study problem of estimating a sparse regression vector with correct support in the presence of outlier samples. The inconsistency of lasso-type methods is well known in this scenario. We propose a combinatorial version of outlier-robust lasso which also identifies clean samples. Subsequently, we use these clean samples to make a good estimation. We also provide a novel invex relaxation for the combinatorial problem and provide provable theoretical guarantees for this relaxation. Finally, we conduct experiments to validate our theory and compare our results against standard lasso.