Beyond least-favorable distribution pairs: asymptotically instance-optimal robust hypothesis testing

Abstract

When testing a composite null $\mathcal{P}$ against a composite alternative $\mathcal{Q}$, it has been known since Huber and Strassen (1973) that if a least favorable distribution (LFD) pair exists, then a version of its likelihood ratio yields a minimax optimal test, and Huber (1965) derived a similar result in the sequential setting for a specific robust testing problem that is the focus of the current paper; the same likelihood ratio is log-optimal in the worst case; its expected logarithm under the alternative equals $\inf_{P \in \mathcal{P},S \in \mathcal{Q}} KL(S\|P)$, whose inverse also determines the stopping time of the test under the alternative. These results focus on optimizing worst-case performance, but the resulting methods have lower power if the data come from simpler alternatives. This paper studies an arguably more practical goal of achieving asymptotic \emph{instance optimality} for ``power-one'' sequential tests, which remarkably may even be possible when $\mathcal{Q} = \mathcal{P}^c$. This means that when the data are drawn from any $S \in \mathcal{P}^c$, the test has power one, and its stopping time is determined by the larger information number $\inf_{P \in \mathcal{P}} KL(S\|P)$, which governs the performance of an oracle that knows $S$. To demonstrate this point, our paper focuses on the case of testing a TV ball around a discrete distribution with $d$ components, and designs a computationally and memory efficient algorithm that is also asymptotically instance-optimal. Specifically, we consider two different asymptotic settings: one is the "Wald setting", where the type-1 error level $α$ approaches zero for a fixed alternative $S$ and the second is the "Farrell setting", where $α$ is fixed and $\inf_{P \in \mathcal{P}} KL(S\|P)$ approaches $0$. Our sequential test is simultaneously optimal in both regimes.