Outlier Robust Online Learning

We consider the problem of learning from noisy data in practical settings where the size of data is too large to store on a single machine. More challenging, the data coming from the wild may contain malicious outliers. To address the scalability and robustness issues, we present an online robust learning (ORL) approach. ORL is simple to implement and has provable robustness guarantee—in stark contrast to existing online learning approaches that are generally fragile to outliers. We specialize the ORL approach for two concrete cases: online robust principal component analysis and online linear regression. We demonstrate the efficiency and robustness advantages of ORL through comprehensive simulations and predicting image tags on a large-scale data set. We also discuss extension of the ORL to distributed learning and provide experimental evaluations.