Abstract:
In the misspecified kernel ridge regression problem, researchers usually assume the underground true function f⋆ρ∈[H]s, a less-smooth interpolation space of a reproducing kernel Hilbert space (RKHS) H for some s∈(0,1). The existing minimax optimal results require ‖f⋆ρ‖L∞<∞ which implicitly requires s>α0 where α0∈(0,1) is the embedding index, a constant depending on H. Whether the KRR is optimal for all s∈(0,1) is an outstanding problem lasting for years. In this paper, we show that KRR is minimax optimal for any s∈(0,1) when the H is a Sobolev RKHS.
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