Covariate Shift by Kernel Mean Matching

Abstract

Given sets of observations of training and test data, we consider the problem of re-weighting the training data such that its distribution more closely matches that\rof the test data. We achieve this goal by matching covariate distributions between training and test sets in a high dimensional feature space (specifically, a reproducing\rkernel Hilbert space). This approach does not require distribution estimation.\rInstead, the sample weights are obtained by a simple quadratic programming procedure. We provide a uniform convergence bound on the distance between\rthe reweighted training feature mean and the test feature mean, a transductive bound on the expected loss of an algorithm trained on the reweighted data, and\ra connection to single class SVMs. While our method is designed to deal with the case of simple covariate shift (in the sense of Chapter ??), we have also found\rbenefits for sample selection bias on the labels. Our correction procedure yields its greatest and most consistent advantages when the learning algorithm returns a\rclassifier/regressor that is \simpler" than the data might suggest.