Dropout Training is Distributionally Robust Optimal
José Blanchet, Yang Kang, José Luis Montiel Olea, Viet Anh Nguyen, Xuhui Zhang; 24(180):1−60, 2023.
This paper shows that dropout training in generalized linear models is the minimax solution of a two-player, zero-sum game where an adversarial nature corrupts a statistician's covariates using a multiplicative nonparametric errors-in-variables model. In this game, nature's least favorable distribution is dropout noise, where nature independently deletes entries of the covariate vector with some fixed probability $\delta$. This result implies that dropout training indeed provides out-of-sample expected loss guarantees for distributions that arise from multiplicative perturbations of in-sample data. The paper makes a concrete recommendation on how to select the tuning parameter $\delta$. The paper also provides a novel, parallelizable, unbiased multi-level Monte Carlo algorithm to speed-up the implementation of dropout training. Our algorithm has a much smaller computational cost compared to the naive implementation of dropout, provided the number of data points is much smaller than the dimension of the covariate vector.
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