Scripts following Hopkins, Li, and Zhang's Robust and Heavy-Tailed Mean Estimation Made Simple, via Regret Minimization. https://arxiv.org/abs/2007.15839
Implementing algorithms:
(1) Multiplicative weights for spectral sample reweighting [Algorithm 1]
(2) Gradient descent for spectral sample reweighing [Algorithm 4]
Implementing L2 projection onto the clipped simplex following Wang and Lu's Projection onto the capped simplex. https://arxiv.org/abs/1503.01002
Implementing Kullback Leibler projection following Herbster and Warmuth's Tracking the Best Linear Predictor. https://dl.acm.org/doi/10.1162/153244301753683726