Electronic Journal of Statistics

Fast learning rate of non-sparse multiple kernel learning and optimal regularization strategies

Taiji Suzuki

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Abstract

In this paper, we give a new generalization error bound of Multiple Kernel Learning (MKL) for a general class of regularizations, and discuss what kind of regularization gives a favorable predictive accuracy. Our main target in this paper is dense type regularizations including $\ell_{p}$-MKL. According to the numerical experiments, it is known that the sparse regularization does not necessarily show a good performance compared with dense type regularizations. Motivated by this fact, this paper gives a general theoretical tool to derive fast learning rates of MKL that is applicable to arbitrary mixed-norm-type regularizations in a unifying manner. This enables us to compare the generalization performances of various types of regularizations. As a consequence, we observe that the homogeneity of the complexities of candidate reproducing kernel Hilbert spaces (RKHSs) affects which regularization strategy ($\ell_{1}$ or dense) is preferred. In fact, in homogeneous complexity settings where the complexities of all RKHSs are evenly same, $\ell_{1}$-regularization is optimal among all isotropic norms. On the other hand, in inhomogeneous complexity settings, dense type regularizations can show better learning rate than sparse $\ell_{1}$-regularization. We also show that our learning rate achieves the minimax lower bound in homogeneous complexity settings.

Article information

Source
Electron. J. Statist., Volume 12, Number 2 (2018), 2141-2192.

Dates
Received: March 2017
First available in Project Euclid: 13 July 2018

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1531468825

Digital Object Identifier
doi:10.1214/18-EJS1399

Mathematical Reviews number (MathSciNet)
MR3827817

Zentralblatt MATH identifier
06917472

Keywords
Multiple kernel learning fast learning rate mini-max lower bound regularization generalization error bounds

Rights
Creative Commons Attribution 4.0 International License.

Citation

Suzuki, Taiji. Fast learning rate of non-sparse multiple kernel learning and optimal regularization strategies. Electron. J. Statist. 12 (2018), no. 2, 2141--2192. doi:10.1214/18-EJS1399. https://projecteuclid.org/euclid.ejs/1531468825


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