Calibrated Surrogate Losses for Adversarially Robust Classification

Adversarially robust classification seeks a classifier that is insensitive to adversarial perturbations of test patterns. This problem is often formulated via a minimax objective, where the target loss is the worst-case value of the 0-1 loss subject to a bound on the size of perturbation. Recent work has proposed convex surrogates for the adversarial 0-1 loss, in an effort to make optimization more tractable. In this work, we consider the question of which surrogate losses are \emph{calibrated} with respect to the adversarial 0-1 loss, meaning that minimization of the former implies minimization of the latter. We show that no convex surrogate loss is calibrated with respect to the adversarial 0-1 loss when restricted to the class of linear models. We further introduce a class of nonconvex losses and offer necessary and sufficient conditions for losses in this class to be calibrated.