The Cost-free Nature of Optimally Tuning Tikhonov Regularizers and Other Ordered Smoothers

Pierre Bellec, Dana Yang
Proceedings of the 37th International Conference on Machine Learning, PMLR 119:746-755, 2020.

Abstract

We consider the problem of selecting the best estimator among a family of Tikhonov regularized estimators, or, alternatively, to select a linear combination of these regularizers that is as good as the best regularizer in the family. Our theory reveals that if the Tikhonov regularizers share the same penalty matrix with different tuning parameters, a convex procedure based on $Q$-aggregation achieves the mean square error of the best estimator, up to a small error term no larger than $C\sigma^2$, where $\sigma^2$ is the noise level and $C>0$ is an absolute constant. Remarkably, the error term does not depend on the penalty matrix or the number of estimators as long as they share the same penalty matrix, i.e., it applies to any grid of tuning parameters, no matter how large the cardinality of the grid is. This reveals the surprising "cost-free" nature of optimally tuning Tikhonov regularizers, in striking contrast with the existing literature on aggregation of estimators where one typically has to pay a cost of $\sigma^2\log(M)$ where $M$ is the number of estimators in the family. The result holds, more generally, for any family of ordered linear smoothers; this encompasses Ridge regression as well as Principal Component Regression. The result is extended to the problem of tuning Tikhonov regularizers with different penalty matrices.

Cite this Paper

BibTeX
@InProceedings{pmlr-v119-bellec20a, title = {The Cost-free Nature of Optimally Tuning Tikhonov Regularizers and Other Ordered Smoothers}, author = {Bellec, Pierre and Yang, Dana}, booktitle = {Proceedings of the 37th International Conference on Machine Learning}, pages = {746--755}, year = {2020}, editor = {III, Hal Daumé and Singh, Aarti}, volume = {119}, series = {Proceedings of Machine Learning Research}, month = {13--18 Jul}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v119/bellec20a/bellec20a.pdf}, url = {https://proceedings.mlr.press/v119/bellec20a.html}, abstract = {We consider the problem of selecting the best estimator among a family of Tikhonov regularized estimators, or, alternatively, to select a linear combination of these regularizers that is as good as the best regularizer in the family. Our theory reveals that if the Tikhonov regularizers share the same penalty matrix with different tuning parameters, a convex procedure based on $Q$-aggregation achieves the mean square error of the best estimator, up to a small error term no larger than $C\sigma^2$, where $\sigma^2$ is the noise level and $C>0$ is an absolute constant. Remarkably, the error term does not depend on the penalty matrix or the number of estimators as long as they share the same penalty matrix, i.e., it applies to any grid of tuning parameters, no matter how large the cardinality of the grid is. This reveals the surprising "cost-free" nature of optimally tuning Tikhonov regularizers, in striking contrast with the existing literature on aggregation of estimators where one typically has to pay a cost of $\sigma^2\log(M)$ where $M$ is the number of estimators in the family. The result holds, more generally, for any family of ordered linear smoothers; this encompasses Ridge regression as well as Principal Component Regression. The result is extended to the problem of tuning Tikhonov regularizers with different penalty matrices.} }
Endnote
%0 Conference Paper %T The Cost-free Nature of Optimally Tuning Tikhonov Regularizers and Other Ordered Smoothers %A Pierre Bellec %A Dana Yang %B Proceedings of the 37th International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2020 %E Hal Daumé III %E Aarti Singh %F pmlr-v119-bellec20a %I PMLR %P 746--755 %U https://proceedings.mlr.press/v119/bellec20a.html %V 119 %X We consider the problem of selecting the best estimator among a family of Tikhonov regularized estimators, or, alternatively, to select a linear combination of these regularizers that is as good as the best regularizer in the family. Our theory reveals that if the Tikhonov regularizers share the same penalty matrix with different tuning parameters, a convex procedure based on $Q$-aggregation achieves the mean square error of the best estimator, up to a small error term no larger than $C\sigma^2$, where $\sigma^2$ is the noise level and $C>0$ is an absolute constant. Remarkably, the error term does not depend on the penalty matrix or the number of estimators as long as they share the same penalty matrix, i.e., it applies to any grid of tuning parameters, no matter how large the cardinality of the grid is. This reveals the surprising "cost-free" nature of optimally tuning Tikhonov regularizers, in striking contrast with the existing literature on aggregation of estimators where one typically has to pay a cost of $\sigma^2\log(M)$ where $M$ is the number of estimators in the family. The result holds, more generally, for any family of ordered linear smoothers; this encompasses Ridge regression as well as Principal Component Regression. The result is extended to the problem of tuning Tikhonov regularizers with different penalty matrices.
APA
Bellec, P. & Yang, D.. (2020). The Cost-free Nature of Optimally Tuning Tikhonov Regularizers and Other Ordered Smoothers. Proceedings of the 37th International Conference on Machine Learning, in Proceedings of Machine Learning Research 119:746-755 Available from https://proceedings.mlr.press/v119/bellec20a.html.

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