We propose the adversarially robust kernel smoothing (ARKS) algorithm, combining kernel smoothing, robust optimization, and adversarial training for robust learning. Our methods are motivated by the convex analysis perspective of distributionally robust optimization based on probability metrics, such as the Wasserstein distance and the maximum mean discrepancy. We adapt the integral operator using supremal convolution in convex analysis to form a novel function majorant used for enforcing robustness. Our method is simple in form and applies to general loss functions and machine learning models. Furthermore, we report experiments with general machine learning models, such as deep neural networks, to demonstrate that ARKS performs competitively with the state-of-the-art methods based on the Wasserstein distance.
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