Robust Prediction when Features are Missing

12/16/2019

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by   Xiuming Liu, et al.

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Predictors are learned using past training data containing features which may be unavailable at the time of prediction. We develop an prediction approach that is robust against unobserved outliers of the missing features, based on the optimality properties of a predictor which has access to these features. The robustness properties of the approach are demonstrated in real and synthetic data.