Naren Sarayu Manoj

Distributionally Robust Linear Regression With Block Lewis Weights

Naren Sarayu Manoj, Kumar Kshitij Patel

We present an algorithm for the group distributionally robust (GDR) least squares problem. Given $m$ groups, a parameter vector in $\mathbb{R}^d$, and stacked design matrices and responses $\mathbf{A}$ and $\mathbf{b}$, our algorithm obtains a $(1+\varepsilon)$-multiplicative opt…Read more