Probable Domain Generalization via Quantile Risk Minimization

Cian Eastwood, Alexander Robey, Shashank Singh, Julius Von Kügelgen, Hamed Hassani, George J. Pappas, Bernhard Schölkopf

Keywords: domain generalization, out-of-distribution generalization, invariant prediction, causality, robust optimization, risk-aware optimization

Abstract: Domain generalization (DG) seeks predictors which perform well on unseen test distributions by leveraging data drawn from multiple related training distributions or domains. To achieve this, DG is commonly formulated as an average- or worst-case problem over the set of possible domains. However, predictors that perform well on average lack robustness while predictors that perform well in the worst case tend to be overly-conservative. To address this, we propose a new probabilistic framework for DG where the goal is to learn predictors that perform well with high probability. Our key idea is that distribution shifts seen during training should inform us of probable shifts at test time, which we realize by explicitly relating training and test domains as draws from the same underlying meta-distribution. To achieve probable DG, we propose a new optimization problem called Quantile Risk Minimization (QRM). By minimizing the $\alpha$-quantile of predictor's risk distribution over domains, QRM seeks predictors that perform well with probability $\alpha$. To solve QRM in practice, we propose the Empirical QRM (EQRM) algorithm and provide: (i) a generalization bound for EQRM; and (ii) the conditions under which EQRM recovers the causal predictor as $\alpha \to 1$. In our experiments, we introduce a more holistic quantile-focused evaluation protocol for DG, and demonstrate that EQRM outperforms state-of-the-art baselines on datasets from WILDS and DomainBed.

TL;DR: We propose Quantile Risk Minimization for achieving *probable* domain generalization, where predictors are trained to generalize with a desired probability.

Community Implementations: [ 3 code implementations](https://www.catalyzex.com/paper/arxiv:2207.09944/code)