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Optimizing Black-box Metrics with Iterative Example Weighting
Gaurush Hiranandani · Jatin Mathur · Harikrishna Narasimhan · Mahdi Milani Fard · Sanmi Koyejo

Wed Jul 21 05:30 PM -- 05:35 PM (PDT) @ None

We consider learning to optimize a classification metric defined by a black-box function of the confusion matrix. Such black-box learning settings are ubiquitous, for example, when the learner only has query access to the metric of interest, or in noisy-label and domain adaptation applications where the learner must evaluate the metric via performance evaluation using a small validation sample. Our approach is to adaptively learn example weights on the training dataset such that the resulting weighted objective best approximates the metric on the validation sample. We show how to model and estimate the example weights and use them to iteratively post-shift a pre-trained class probability estimator to construct a classifier. We also analyze the resulting procedure's statistical properties. Experiments on various label noise, domain shift, and fair classification setups confirm that our proposal compares favorably to the state-of-the-art baselines for each application.

Author Information

Gaurush Hiranandani (UIUC)
Jatin Mathur (University of Illinois at Urbana-Champaign)
Harikrishna Narasimhan (Google Research)
Mahdi Milani Fard (Google)
Sanmi Koyejo (Illinois / Google)

Sanmi (Oluwasanmi) Koyejo an Assistant Professor in the Department of Computer Science at the University of Illinois at Urbana-Champaign. Koyejo's research interests are in the development and analysis of probabilistic and statistical machine learning techniques motivated by, and applied to various modern big data problems. He is particularly interested in the analysis of large scale neuroimaging data. Koyejo completed his Ph.D in Electrical Engineering at the University of Texas at Austin advised by Joydeep Ghosh, and completed postdoctoral research at Stanford University with a focus on developing Machine learning techniques for neuroimaging data. His postdoctoral research was primarily with Russell A. Poldrack and Pradeep Ravikumar. Koyejo has been the recipient of several awards including the outstanding NCE/ECE student award, a best student paper award from the conference on uncertainty in artificial intelligence (UAI) and a trainee award from the Organization for Human Brain Mapping (OHBM).

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