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Tempering The Adversary: An Exploration Into The Applications Of Game Theoretic Feature Selection And Regression, Stephen Mcgee

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Most modern machine learning algorithms tend to focus on an "average-case" approach, where every data point contributes the same amount of influence towards calculating the fit of a model. This "per-data point" error (or loss) is averaged together into an overall loss and typically minimized with an objective function. However, this can be insensitive to valuable outliers. Inspired by game theory, the goal of this work is to explore the utility of incorporating an optimally-playing adversary into feature selection and regression frameworks. The adversary assigns weights to the data elements so as to degrade the modeler's performance in an optimal …