Small noise analysis for Tikhonov and RKHS regularizations
Quanjun Lang Fei Lu
Regularization plays a pivotal role in ill-posed machine learning and inverse
problems. However, the fundamental comparative analysis of various
regularization norms remains open. We establish a small noise analysis
framework to assess the effects of norms in Tikhonov and RKHS regularizations,
in the context of ill-posed linear inverse problems with Gaussian noise. This
framework studies the convergence rates of regularized estimators in the small
noise limit and reveals the potential instability of the conventional
L2-regularizer. We solve such instability by proposing an innovative class of
adaptive fractional RKHS regularizers, which covers the L2 Tikhonov and RKHS
regularizations by adjusting the fractional smoothness parameter. A surprising
insight is that over-smoothing via these fractional RKHSs consistently yields
optimal convergence rates, but the optimal hyper-parameter may decay too fast
to be selected in practice.