Kernelized Elastic Net Regularization: Generalization Bounds, and Sparse Recovery

摘要

Kernelized elastic net regularization (KENReg) is a kernelization of the well-known elastic net regularization (Zou & Hastie, ). The kernel in KENReg is not required to be a Mercer kernel since it learns from a kernelized dictionary in the coefficient space. Feng, Yang, Zhao, Lv, and Suykens () showed that KENReg has some nice properties including stability, sparseness, and generalization. In this letter, we continue our study on KENReg by conducting a refined learning theory analysis. This letter makes the following three main contributions. First, we present refined error analysis on the generalization performance of KENReg. The main difficulty of analyzing the generalization error of KENReg lies in characterizing the population version of its empirical target function. We overcome this by introducing a weighted Banach space associated with the elastic net regularization. We are then able to conduct elaborated learning theory analysis and obtain fast convergence rates under proper complexity and regularity assumptions. Second, we study the sparse recovery problem in KENReg with fixed design and show that the kernelization may improve the sparse recovery ability compared to the classical elastic net regularization. Finally, we discuss the interplay among different properties of KENReg that include sparseness, stability, and generalization. We show that the stability of KENReg leads to generalization, and its sparseness confidence can be derived from generalization. Moreover, KENReg is stable and can be simultaneously sparse, which makes it attractive theoretically and practically.