Statistica Sinica Preprint No: SS-2019-0324 Title Robustness and Tractability for Non-convex M-estimators Manuscript ID SS-2019-0324 URL http://www.stat.sinica.edu.tw/statistica/ DOI 10.5705/ss.202019.0324 Complete List of Authors Ruizhi Zhang, Yajun Mei, Jianjun Shi and Huan Xu Corresponding Author Ruizhi Zhang E-mail
[email protected] Notice: Accepted version subject to English editing. Statistica Sinica: Newly accepted Paper (accepted author-version subject to English editing) Statistica Sinica Robustness and Tractability for Non-convex M-estimators Ruizhi Zhang*, Yajun Mei**, Jianjun Shi**, Huan Xu*** *University of Nebraska-Lincoln, **Georgia Institute of Technology, ***Alibaba Inc. Abstract: We investigate two important properties of M-estimators, namely, ro- bustness and tractability, in the linear regression setting, when the observations are contaminated by some arbitrary outliers. Specifically, robustness means the statistical property that the estimator should always be close to the true under- lying parameters regardless of the distribution of the outliers, and tractability indicates the computational property that the estimator can be computed effi- ciently, even if the objective function of the M-estimator is non-convex. In this article, by learning the landscape of the empirical risk, we show that under some sufficient conditions, many M-estimators enjoy nice robustness and tractability properties simultaneously when the percentage of outliers is small. We further extend our analysis to the high-dimensional setting, where the number of pa- rameters is greater than the number of samples, p n, and prove that when the proportion of outliers is small, the penalized M-estimators with L1 penalty will enjoy robustness and tractability simultaneously.