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Old and New Results in RobustHypothesis Testing
Bernard C. LevyDepartment of Electrical and Computer Engineering
University of California, Davis
January 12, 2008
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
1
Outline� Binary Hypothesis Testing
� Robust Hypothesis Testing
� Huber’s Clipped LR Test
� Robustness with a KL Divergence Tolerance
� Simulations
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
2
Binary Hypothesis Testing� Consider observation � �� where under hypothesis � � , � has
probability density � � �� and under � , it has density � �� .
� Given � , we need to decide between � or � � . We use a randomizeddecision rule � �� , where given � � , we select � with probability
� �� and � � with probability ��� � �� , where � � � �� � � for all� �� .Note that set� is convex.
� Bayesian hypothesis testing assumes a priori probabilities
� � � � � � � � � � � � � � � � �
and costs � � and � � for a miss (deciding � � when � holds) and afalse alarm (deciding � when � � holds), respectively.
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
3
Binary hypothesis testing(cont’d)
Let
� � � � � � � �� � � �� � � �� �� �
� � � � � � �� � � � � � �� � �� �� �
denote the probability of false alarm and of a miss under � � and � ,respectively. The optimal Bayesian test minimizes the risk
� � � � � � � � � � � � � � � � � � � � � � � � � � � �
� � �
�� � � �� � � � � � � � �� � � � � � �� �� � !
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
4
Binary hypothesis testing(cont’d)
Optimal Bayesian test: Let " �� � �� # � � �� = likelihood ratio (LR) and
$ % � � � � # � � � � . The test minimizing the Bayesian risk is given by
� �� &''
( '')� " �� +* $ %
� " �� +, $ %
arbitrary " �� $ % �
and randomization is not needed.
Neyman-Pearson test (of type I): Minimizes � � � � � � under the constraint
� � � � � � � �.- . Solution:
� �� &''
( '')� " �� * $
� " �� , $
/ " �� $ !
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
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Binary hypothesis testing(cont’d)� The threshold $ and randomization probability / are selected as follows.
Let 0 1 ��2 3 � � � � " � 2 3 � � � denote the cumulative probabilitydistribution of likelihood ratio " under � � . Then 0 1 � $ 3 � � � � - and
/ � if � � - is in the range of 0 1 �2 3 � � , and if0 1 � $ � 3 � � +, � � - , 0 1 � $ 3 � �
then
/ 0 1 � $ 3 � � � � � � -
0 1 � $ 3 � � � 0 1 � $ � 3 � �
� Both the Bayesian and NP tests rely on the LR function " �� . Only thethreshold selection changes.
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
6
Outline� Binary Hypothesis Testing
� Robust Hypothesis Testing
� Huber’s Clipped LR Test
� Robustness with a KL Divergence Tolerance
� Simulations
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
7
Robust Hypothesis Testing� The actual probability densities 4 � and 4 of observation � under � � and
� may differ slightly from the nominal densities � � and � . Assume
4 5 �6 5 , where6 5 denotes a convex neighborhood of � 5 for 7 � � � .
� Let6 6 �98 6 . The robust Bayesian hypothesis problem can beexpressed as
:; <= >? : @ABCD ECF G >H � � � � 4 � � 4 !
Since � � � � 4 � � 4 is separately linear with respect to � , and � 4 � � 4 , themin-max problem has a convex-concave structure. For appropriatechoices of metrics,� and6 are compact, so by Von-Neumann’s minimaxtheorem, there exists a saddle point � � I � 4 1� � 4 1 satisfying
� � � I � 4 � � 4 � � � � I � 4 1� � 4 1 � � � � � 4 1� � 4 1 ! (1)
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
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Robust Hypothesis Testing (cont’d)� Here � I = robust test, and � 4 1� � 4 1 = least-favorable densities. The
second inequality in (1) implies � I is the optimum Bayesian test for thepair � 4 1� � 4 1 , so � I can be expressed as the LR test
" 1 �� 4 1 �� 4 1� ��
J FKJ D$ % !
� Since � � � � 4 � � 4 is a fixed linear combination of � � � � � 4 and
� � � � � 4 � , the first inequality in (1) is equivalent to
� � � � I � 4 � � � � � � I � 4 1� � � � � � I � 4 � � � � � I � 4 1 (2)
for all 4 � �6 � and 4 �6 .
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
9
Robust Hypothesis Testing (cont’d)� The robust NP test solves
: ; <= >? L : @ACF >H F � � � � � 4 � (3)
where� M N � �� O : @AC D >H D � � � � � 4 � P
is the set of decision rules of size less than- . Since � � � � � 4 � is a convexfunction of � for each 4 � �6 � , so is
: @AC D >H D � � � � � 4 � �hence� M is convex.
� The cost function � � � � � 4 has a convex concave structure, so a saddlepoint exist, and � I is the optimal NP test for least favorable observationdensities � 4 1� � 4 1 .
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
10
Outline� Binary Hypothesis Testing
� Robust Hypothesis Testing
� Huber’s Clipped LR Test
� Robustness with a KL Divergence Tolerance
� Simulations
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
11
Huber’s Clipped LR Test� Different choices of neighborhoods6 5 yield different robust tests. Let
Q 5 �� and 0 5 �� denote the cumulative probability distribution functionscorresponding to the actual and nominal densities 4 5 �� and � 5 �� for
7 � � � . For some numbers � �.R � �R �TS � � S , � , Huber consideredneighborhoods
6 � N 4 � O Q � �� U � � � R � 0 � �� � S � for all� �� P
6 N 4 O � � Q �� U � � � R � � � 0 �� � S for all� �� P !
� The constraints specifying6 5 are linear in 4 5 , so the neighborhoods areconvex.
� Since functions � � � � I � 4 and � � � � I � 4 � are linear in 4 and 4 � , themaximization (2) for the least-favorable densities is a linear programmingproblem, so solutions will be located on the boundary of6 5 .
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
12
Huber’s Clipped LR Test (cont’d)
Least-favorable densities: There exists V �� 1 � �W � such that over thisinterval
Q 1� �� � � � R � 0 � �� � S �
Q 1 �� � � � R 0 �� R S �
so the least-favorable densities are on the boundary of sets6 � and6 . For
7 � � � , this implies
4 15 �� � � � R 5 � 5 ��
over V . Let
X �� Y[Z � � �� \ Z � ��
] �� Y[Z Z � � �� \ Z Z � �� �GGAM Mini-Conference Department of Electrical and Computer Engineering
University of California at Davis
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Huber’s Clipped LR Test (cont’d)
with
Y^Z R S � � R � Y^Z Z R � S �� � R �
\ Z S �� � R � � \ Z Z S � � R !
Let2 1 " �� 1 ,2W " ��W . Then
4 15 �� _ 5 X �� � � � � 1
4 15 �� � 5 ] �� � � U �W �
with _ _ � � � R � � R � 2 1 � � � � � � R � � R � 2W !
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
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Huber’s Clipped LR Test (cont’d)
Clipping transformation: The least-favorable LR can be expressed as
" 1 �� 4 1 �� 4 1� ��
� � R � � R � � � " ��
where the clipping nonlinearity � �a` is shown below
"
� � "
2 1
2 1 2W
2W�
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
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Huber’s clipped LR test (cont’d)
Robust test: The decision rule
" 1 �� J F
KJ D$ %
can be rewritten as
� � " �� J F
KJ D b � � R �� � R $ % !
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
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Huber’s clipped LR test (cont’d)� ForS � S � , the LF distributions belong to the contamination class
c[d 5 N 4 5 O Q 5 �� � � � R 5 0 5 �� R 5 � �� for all� P
contained in6 5 , where � �� = arbitrary probability distribution.
� ForR � R � , the LF densities belong to the total variation class
cfe g5 N 4 5 O 3 4 5 � � 5 3 �ih S 5 P
contained in6 5 .
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
17
Outline� Binary Hypothesis Testing
� Robust Hypothesis Testing
� Huber’s Clipped LR Test
� Robustness with a KL Divergence Tolerance
� Simulations
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
18
Robustness with a KL Tolerance� For 7 � � � consider neighborhoods
6 5 N 4 5 Oj � 4 5 3 � 5 �.R P
wherej � 4 3 � �
� �k < � 4 �� # � �� 4 �� � �
is the Kullback-Leibler divergence or relative entropy of density 4 withrespect to � .
� j � 4 3 � is convex in 4 , so6 5 is convex.j � 4 3 � is not a true distance,since it is not symmetric (j � � 3 4 l j � 4 3 � ) and does not satisfy thetriangle inequality. Butj � 4 3 � U � with equality if and only if 4 � .
� j � 4 3 � and its dualj m � 4 3 � j � � 3 4 admit a non-Riemanniandifferential geometric interpretation in terms of dual connections.
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
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Robustness with a KL Tolerance
Assumptions:
i) The nominal LR " �� � �� # � � �� is monotone increasing in� .
ii) � �� � � �� � .iii) � , R , j � � npo 3 � � , where � npo �� is the mid-way density on the
geodesic�q �� � � q� �� � q ��
r ��s
linking � � and � . Here
r ��s �� � � q �� � � q� �� � �
= normalization constant.
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
20
Robustness with a KL Tolerance (cont’d)
Robust test and LF densities: For a minimum probability of error criterion( � � � � � ) and equally likely hypotheses, there exists� W * � such that
� I �� &'''
( ''')
� � * �W
o � � tu 1 Bv Gtu w x � � �W � � � �W
� � , � �W �
4 1� �� &''
( '')2W � � �� # r ��W � * �W
2 npoW � npo � npo� �� # r ��W � �W � � � �W
� � �� # r ��W � , � �W �
4 1 �� 4 1� �� � , with2W " ��W .GGAM Mini-Conference Department of Electrical and Computer Engineering
University of California at Davis
21
Robustness with a KL Tolerance (cont’d)
Nonlinear transformation: The least-favorable LR can be expressed as anonlinear transformation " 1 y � " of the nominal LR.
"
y � "
�
� # 2W 2W�
" # 2W
2W "
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
22
Robustness with a KL Tolerance (cont’d)� 4 1� �a` 3�W is parametrized by� W with 4 1� � � for�W � and
k ; : 4 1� � n o as�W z { .
� �W is selected such thatj � 4 1� �` 3�W 3 � � R . Relies on showing that
j ��W j � 4 1� �` 3�W 3 � �
is a monotone increasing function of� W .
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
23
Outline� Binary Hypothesis Testing
� Robust Hypothesis Testing
� Huber’s Clipped LR Test
� Robustness with a KL Divergence Tolerance
� Simulations
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
24
Simulations
Consider the nominal model
� � O � � � | � O � � | �
with |i} ~ � � �9� o , so � �} ~ �� � �9� o .j ��W is plotted below for SNR= � dB (� � ).
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.80
0.02
0.04
0.06
0.08
0.1
0.12
0.14
0.16
0.18
yu
D(y
u)
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
25
Simulations (cont’d)
LF densities 4 1� forR � ! � and SNR = 0, 10dB.
−3 −2.5 −2 −1.5 −1 −0.5 0 0.5 1 1.5 20
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
y
g0
nominalleast favorable
−3 −2.5 −2 −1.5 −1 −0.5 0 0.5 1 1.5 20
0.2
0.4
0.6
0.8
1
1.2
1.4
y
g0
nominalleast favorable
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
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Simulations (cont’d)
Comparison of worst-case � ��� � for test � I withR � ! � � , � ! � against � ��� �
for the Bayesian test on nominal model.
0 5 10 1510−10
10−8
10−6
10−4
10−2
100
SNR
PE
nominaleps=0.01eps=0.1
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis
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References
[1] P. J. Huber, ”A robust version of the probability ratio test,” Annals Math.Stat., vol. 36, pp. 1753–1758, Dec. 1965.
[2] P. J. Huber, Robust Statistics. New York: J. Wiley, 1981.
[3] B. C. Levy, ”Robust hypothesis testing with a relative entropy tolerance,”preprint, available at http://arxiv.org/abs/cs/0707.2926, July 2007.
[4] B. C. Levy, Principles of Signal Detection and Parameter Estimation.Springer Verlag, May 2008 (to appear).
GGAM Mini-Conference Department of Electrical and Computer EngineeringUniversity of California at Davis