Annales de l'Institut Henri Poincaré, Probabilités et Statistiques

Sparsity in penalized empirical risk minimization

Vladimir Koltchinskii

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Let (X, Y) be a random couple in S×T with unknown distribution P. Let (X1, Y1), …, (Xn, Yn) be i.i.d. copies of (X, Y), Pn being their empirical distribution. Let h1, …, hN:S↦[−1, 1] be a dictionary consisting of N functions. For λ∈ℝN, denote fλ:=∑j=1Nλjhj. Let :T×ℝ↦ℝ be a given loss function, which is convex with respect to the second variable. Denote (f)(x, y):=(y; f(x)). We study the following penalized empirical risk minimization problem

\[\hat{\lambda}^{\varepsilon }:=\mathop{\operatorname {argmin}}_{\lambda\in {\mathbb{R}}^{N}}\bigl[P_{n}(\ell\bullet f_{\lambda})+\varepsilon \|\lambda\|_{\ell_{p}}^{p}\bigr],\]

which is an empirical version of the problem

\[\lambda^{\varepsilon }:=\mathop{\operatorname{argmin}}_{\lambda\in {\mathbb{R}}^{N}}\bigl[P(\ell \bullet f_{\lambda})+\varepsilon \|\lambda\|_{\ell_{p}}^{p}\bigr]\]

(here ɛ≥0 is a regularization parameter; λ0 corresponds to ɛ=0). A number of regression and classification problems fit this general framework. We are interested in the case when p≥1, but it is close enough to 1 (so that p−1 is of the order $\frac{1}{\log N}$, or smaller). We show that the “sparsity” of λɛ implies the “sparsity” of λ̂ɛ and study the impact of “sparsity” on bounding the excess risk P(fλ̂ɛ)−P(fλ0) of solutions of empirical risk minimization problems.


Soit (X, Y) un couple aléatoire à valeurs dans S×T et de loi P inconnue. Soient (X1, Y1), …, (Xn, Yn) des répliques i.i.d. de (X, Y), de loi empirique associée Pn. Soit h1, …, hN:S↦[−1, 1] un dictionnaire composé de N fonctions. Pour tout λ∈ℝN, on note fλ:=∑j=1Nλjhj. Soit :T×ℝ↦ℝ fonction de perte donnée que l’on suppose convexe en la seconde variable. On note (f)(x, y):=(y;f(x)). On étudie le problème de minimisation du risque empirique pénalisé suivant

\[\hat{\lambda}^{\varepsilon }:=\mathop{\operatorname {argmin}}_{\lambda\in {\mathbb{R}}^{N}}\bigl[P_{n}(\ell\bullet f_{\lambda})+\varepsilon \|\lambda\|_{\ell_{p}}^{p}\bigr],\]

qui correspond à la version empirique du problème

\[\lambda^{\varepsilon }:=\mathop{\operatorname{argmin}}_{\lambda\in {\mathbb{R}}^{N}}\bigl[P(\ell \bullet f_{\lambda})+\varepsilon \|\lambda\|_{\ell_{p}}^{p}\bigr]\]

(ici ɛ≥0 est un paramètre de régularisation; λ0 correspond au cas ɛ=0). Ce cadre général englobe un certain nombre de problèmes de régression et de classification. On s’intéresse au cas où p≥1, mais reste proche de 1 (de sorte que p−1 soit de l’ordre $\frac{1}{\log N}$, ou inférieur). On montre que la “sparsité” de λɛ implique la “sparsité” de λ̂ɛ. En outre, on étudie les conséquences de la “sparsité” en termes de bornes supérieures sur l’excès de risque P(fλ̂ɛ)−P(fλ0) des solutions obtenues pour les différents problèmes de minimisation du risque empirique.

Article information

Ann. Inst. H. Poincaré Probab. Statist., Volume 45, Number 1 (2009), 7-57.

First available in Project Euclid: 12 February 2009

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Zentralblatt MATH identifier

Primary: 62G99: None of the above, but in this section 62J99: None of the above, but in this section 62H30: Classification and discrimination; cluster analysis [See also 68T10, 91C20]

Empirical risk Penalized empirical risk ℓ_p-penalty Sparsity Oracle inequalities


Koltchinskii, Vladimir. Sparsity in penalized empirical risk minimization. Ann. Inst. H. Poincaré Probab. Statist. 45 (2009), no. 1, 7--57. doi:10.1214/07-AIHP146.

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