Weighted Empirical Risk Minimization: Sample Selection Bias Correction based on Importance Sampling

Robin Vogel, Mastane Achab, Stéphan Clémençon +1

We consider statistical learning problems, when the distribution $P^{\prime }$ of the training observations $Z_1^{\prime },\dots ,Z_n^{\prime }$ differs from the distribution $P$ involved in the risk o…