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Hastie, Trevor; Montanari, Andrea; Rosset, Saharon; Tibshirani, Ryan J.
Annals of statistics, 4/2022, Volume: 50, Issue: 2Journal Article
Interpolators-estimators that achieve zero training error-have attracted growing attention in machine learning, mainly because state-of-the art neural networks appear to be models of this type. In this paper, we study minimum ℓ2 norm ("ridgeless") interpolation least squares regression, focusing on the high-dimensional regime in which the number of unknown parameters p is of the same order as the number of samples n. We consider two different models for the feature distribution: a linear model, where the feature vectors xi ∈ Rp are obtained by applying a linear transform to a vector of i.i.d. entries, xi = Σ1/2 zi (with zi ∈ Rp); and a nonlinear model, where the feature vectors are obtained by passing the input through a random one-layer neural network, xi = φ(Wzi) (with zi ∈ Rd, W ∈ Rp×d a matrix of i.i.d. entries, and φ an activation function acting componentwise on Wzi). We recover-in a precise quantitative way-several phenomena that have been observed in large-scale neural networks and kernel machines, including the "double descent" behavior of the prediction risk, and the potential benefits of overparametrization.
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