Part of Advances in Neural Information Processing Systems 33 (NeurIPS 2020)

*Jerry Li, Guanghao Ye*

Robust covariance estimation is the following, well-studied problem in high dimensional statistics: given $N$ samples from a $d$-dimensional Gaussian $\mathcal{N}(\boldsymbol{0}, \Sigma)$, but where an $\varepsilon$-fraction of the samples have been arbitrarily corrupted, output $\widehat{\Sigma}$ minimizing the total variation distance between $\mathcal{N}(\boldsymbol{0}, \Sigma)$ and $\mathcal{N}(\boldsymbol{0}, \widehat{\Sigma})$. This corresponds to learning $\Sigma$ in a natural affine-invariant variant of the Frobenius norm known as the \emph{Mahalanobis norm}. Previous work of Cheng et al demonstrated an algorithm that, given $N = \widetilde{\Omega}(d^2 / \varepsilon^2)$ samples, achieved a near-optimal error of $O(\varepsilon \log 1 / \varepsilon)$, and moreover, their algorithm ran in time $\widetilde{O}(T(N, d) \log \kappa / \mathrm{poly} (\varepsilon))$, where $T(N, d)$ is the time it takes to multiply a $d \times N$ matrix by its transpose, and $\kappa$ is the condition number of $\Sigma$. When $\varepsilon$ is relatively small, their polynomial dependence on $1/\varepsilon$ in the runtime is prohibitively large. In this paper, we demonstrate a novel algorithm that achieves the same statistical guarantees, but which runs in time $\widetilde{O} (T(N, d) \log \kappa)$. In particular, our runtime has no dependence on $\varepsilon$. When $\Sigma$ is reasonably conditioned, our runtime matches that of the fastest algorithm for covariance estimation without outliers, up to poly-logarithmic factors, showing that we can get robustness essentially ``for free.''

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