Relaxed Clipping: A Global Training Method for Robust Regression and Classification

Robust regression and classification are often thought to require non-convex loss functions that prevent scalable, global training. However, such a view neglects the possibility of reformulated training methods that can yield practically solvable alternatives. A natural way to make a loss function more robust to outliers is to truncate loss values that exceed a maximum threshold. We demonstrate that a relaxation of this form of "loss clipping" can be made globally solvable and applicable to any standard loss while guaranteeing robustness against outliers. We present a generic procedure that can be applied to standard loss functions and demonstrate improved robustness in regression and classification problems.