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Learning Robust Neural Processes with Risk-Averse Stochastic Optimization

ICML 2025 · Optimization › Nonconvex and smooth optimization · approach: Variance-reduced policy gradient

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Proposes risk-averse (CVaR) training for neural processes via a two-level finite-sum minimax reformulation solved with a variance-reduced, double-loop stochastic mirror prox algorithm.

Problem

Neural processes trained with empirical risk minimization treat tasks uniformly, so the worst fast-adaptation tasks can have catastrophic error in risk-sensitive settings.

Approach

Replace ERM with CVaR (expected tail risk) minimization over task losses, recast as a DRO minimax problem over task weights, and solve it with a variance-reduced stochastic mirror prox that samples one point per task and aggregates prox points with adaptive learning-rate weights.

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
Apply CVaR risk-averse optimization to ANPANP · CelebAlog-likelihood: 2.9214±0.004 -> 2.9718±0.006Helped
Apply CVaR risk-averse optimization to ANPANP · EMNIST seen (0-9)log-likelihood: 0.9815±0.006 -> 0.9881±0.004Helped
Apply CVaR risk-averse optimization to ANPANP · EMNIST unseen (10-46)log-likelihood: 0.8843±0.003 -> 0.8967±0.005Helped
Apply CVaR risk-averse optimization to TNPTNP · Bayesian optimization, RBFsimple regret: 0.1125±0.003 -> 0.0915±0.004Helped
Apply CVaR risk-averse optimization to TNPTNP · Bayesian optimization, Matérn 5/2simple regret: 0.1451±0.001 -> 0.1289±0.003Helped
Apply CVaR risk-averse optimization to TNPTNP · Bayesian optimization, Periodicsimple regret: 0.1715±0.003 -> 0.1463±0.004Helped
Apply CVaR risk-averse optimization to neural processesNeural processes · Contextual bandit (γ = 0.7)cumulative regret: 1.1895±0.942 -> 1.1536±0.103Helped
Apply CVaR risk-averse optimization to neural processesNeural processes · Contextual bandit (γ = 0.9)cumulative regret: 1.4362±0.378 -> 1.5962±0.539Mixed
Apply CVaR risk-averse optimization to neural processesNeural processes · Contextual bandit (γ = 0.95)cumulative regret: 2.1526±0.574 -> 1.9854±0.341Helped
Apply CVaR risk-averse optimization to TNPTNP · Contextual bandit (γ = 0.99)cumulative regret: 2.3612±1.522 -> 2.0813±0.896Helped
Apply CVaR risk-averse optimization to TNPTNP · Contextual bandit (γ = 0.995)cumulative regret: 3.5267±1.267 -> 3.1231±0.957Helped
Apply CVaR risk-averse optimization to TNPTNP · Contextual bandit (γ = 0.999)cumulative regret: 8.9824±0.678 -> 7.2355±1.429Helped

Surprising findings

Limitations

Experimental setup

Datasets: CelebA EMNIST synthetic GP functions (RBF, Matern 5/2, Periodic) contextual bandit synthetic data

Benchmarks: CelebA EMNIST Bayesian optimization GP kernels contextual bandits

Metrics: log-likelihood of target points simple regret cumulative regret task risk distribution (MSE)

Baselines: CNP NP ANP ConvNP TNP BCNP BNP BANP BConvNP BTNP SCNP SNP

Builds on: neural processes stable neural processes bootstrapping neural processes variance-reduced stochastic gradient (Johnson & Zhang, 2013) stochastic mirror prox (Alacaoglu & Malitsky, 2022)

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