We develop a re-weighted gradient descent technique for boosting the performance of deep neural networks, which involves importance weighting of data points during each optimization step. Our approach is inspired by distributionally robust optimization with f-divergences, which has been known to result in models with improved generalization guarantees. Our re-weighting scheme is simple, computationally efficient, and can be combined with many popular optimization algorithms such as SGD and Adam. Empirically, we demonstrate the superiority of our approach on various tasks, including supervised learning, domain adaptation. Notably, we obtain improvements of +0.7% and +1.44% over SOTA on DomainBed and Tabular classification benchmarks, respectively. Moreover, our algorithm boosts the performance of BERT on GLUE benchmarks by +1.94%, and ViT on ImageNet-1K by +1.01%. These results demonstrate the effectiveness of the proposed approach, indicating its potential for improving performance in diverse domains.

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