Robust Bayesian recourse
Tuan-Duy H. Nguyen, Ngoc Bui, Duy Nguyen, Man-Chung Yue, Viet Anh Nguyen
Abstract
Algorithmic recourse aims to recommend an informative feedback to overturn an unfavorable machine learning decision. We introduce in this paper the Bayesian recourse, a model-agnostic recourse that minimizes the posterior probability odds ratio. Further, we present its min-max robust counterpart with the goal of hedging against future changes in the machine learning model parameters. The robust counterpart explicitly takes into account possible perturbations of the data in a Gaussian mixture ambiguity set prescribed using the optimal transport (Wasserstein) distance. We show that the resulting worst-case objective function can be decomposed into solving a series of two-dimensional optimization subproblems, and the min-max recourse finding problem is thus amenable to a gradient descent algorithm. Contrary to existing methods for generating robust recourses, the robust Bayesian recourse does not require a linear approximation step. The numerical experiment demonstrates the effectiveness of our proposed robust Bayesian recourse facing model shifts. Our code is available at https://github.com/VinAIResearch/robust-bayesian-recourse.
BibTeX
@InProceedings{pmlr-v180-nguyen22a,
title = {Robust Bayesian recourse},
author = {Nguyen, Tuan-Duy H. and Bui, Ngoc and Nguyen, Duy and Yue, Man-Chung and Nguyen, Viet Anh},
booktitle = {Proceedings of the Thirty-Eighth Conference on Uncertainty in Artificial Intelligence},
pages = {1498--1508},
year = {2022},
editor = {Cussens, James and Zhang, Kun},
volume = {180},
series = {Proceedings of Machine Learning Research},
month = {01--05 Aug},
publisher = {PMLR},
pdf = {https://proceedings.mlr.press/v180/nguyen22a/nguyen22a.pdf},
url = {https://proceedings.mlr.press/v180/nguyen22a.html},
abstract = {Algorithmic recourse aims to recommend an informative feedback to overturn an unfavorable machine learning decision. We introduce in this paper the Bayesian recourse, a model-agnostic recourse that minimizes the posterior probability odds ratio. Further, we present its min-max robust counterpart with the goal of hedging against future changes in the machine learning model parameters. The robust counterpart explicitly takes into account possible perturbations of the data in a Gaussian mixture ambiguity set prescribed using the optimal transport (Wasserstein) distance. We show that the resulting worst-case objective function can be decomposed into solving a series of two-dimensional optimization subproblems, and the min-max recourse finding problem is thus amenable to a gradient descent algorithm. Contrary to existing methods for generating robust recourses, the robust Bayesian recourse does not require a linear approximation step. The numerical experiment demonstrates the effectiveness of our proposed robust Bayesian recourse facing model shifts. Our code is available at https://github.com/VinAIResearch/robust-bayesian-recourse.}
}