Distributionally Robust Optimization with Bias and Variance Reduction
Authors: Ronak Mehta,Vincent Roulet,Krishna Pillutla,Zaid Harchaoui
Presentation: ICLR 2024,Spotlight

Abstract: We consider the distributionally robust optimization (DRO) problem, wherein a learner optimizes the worst-case empirical risk achievable by reweighing the observed training examples. We present Prospect, a stochastic gradient-based algorithm that only requires tuning a single learning rate hyperparameter, and prove that it enjoys linear convergence for smooth regularized losses. This contrasts with previous algorithms that either require tuning multiple hyperparameters or potentially fail to converge due to biased gradient estimates or inadequate regularization. Empirically, we show that Prospect can converge 2-3x faster than baselines such as SGD and stochastic saddle-point methods on distribution shift and fairness benchmarks spanning tabular, vision, and language domains.