Adversarial Surrogate Losses for Ordinal Regression

Ordinal regression seeks class label predictions when the penalty incurred for mistakes increases according to an ordering over the labels. The absolute error is a canonical example. Many existing methods for this task reduce to binary classification problems and employ surrogate losses, such as the hinge loss. We instead derive uniquely defined surrogate ordinal regression loss functions by seeking the predictor that is robust to the worst-case approximations of training data labels, subject to matching certain provided training data statistics. We demonstrate the advantages of our approach over other surrogate losses based on hinge loss approximations using UCI ordinal prediction tasks.