Optimal minimax rate of learning interaction kernels

• URL: http://arxiv.org/abs/2311.16852v1
• Date: Tue, 28 Nov 2023 15:01:58 GMT
• Title: Optimal minimax rate of learning interaction kernels
• Authors: Xiong Wang, Inbar Seroussi and Fei Lu
• Abstract summary: We introduce a tamed least squares estimator (tLSE) that attains the optimal convergence rate for a broad class of exchangeable distributions. Our findings reveal that provided the inverse problem in the large sample limit satisfies a coercivity condition, the left tail probability does not alter the bias-variance tradeoff.
• Score: 7.329333373512536
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Nonparametric estimation of nonlocal interaction kernels is crucial in various applications involving interacting particle systems. The inference challenge, situated at the nexus of statistical learning and inverse problems, comes from the nonlocal dependency. A central question is whether the optimal minimax rate of convergence for this problem aligns with the rate of $M^{-\frac{2\beta}{2\beta+1}}$ in classical nonparametric regression, where $M$ is the sample size and $\beta$ represents the smoothness exponent of the radial kernel. Our study confirms this alignment for systems with a finite number of particles. We introduce a tamed least squares estimator (tLSE) that attains the optimal convergence rate for a broad class of exchangeable distributions. The tLSE bridges the smallest eigenvalue of random matrices and Sobolev embedding. This estimator relies on nonasymptotic estimates for the left tail probability of the smallest eigenvalue of the normal matrix. The lower minimax rate is derived using the Fano-Tsybakov hypothesis testing method. Our findings reveal that provided the inverse problem in the large sample limit satisfies a coercivity condition, the left tail probability does not alter the bias-variance tradeoff, and the optimal minimax rate remains intact. Our tLSE method offers a straightforward approach for establishing the optimal minimax rate for models with either local or nonlocal dependency.

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