On asymptotic properties of hyperparameter estimators for kernel-based regularization methods. (August 2018)

• Record Type: Journal Article
• Authors: Mu, Biqiang; Chen, Tianshi; Ljung, Lennart
• Is Part Of: Automatica. Volume 94(2018)
• Page Start: 381
• Page End: 395
• Publication Date: 2018-08
• Subjects: Kernel-based regularization -- Empirical Bayes -- Stein's unbiased risk estimator -- Asymptotic analysis; Automatic control -- Periodicals; Automation -- Periodicals; 629.805
• DOI: 10.1016/j.automatica.2018.04.035
• Languages: English
• ISSNs: 0005-1098

Abstract

Abstract: The kernel-based regularization method has two core issues: kernel design and hyperparameter estimation. In this paper, we focus on the second issue and study the properties of several hyperparameter estimators including the empirical Bayes (EB) estimator, two Stein's unbiased risk estimators (SURE) (one related to impulse response reconstruction and the other related to output prediction) and their corresponding Oracle counterparts, with an emphasis on the asymptotic properties of these hyperparameter estimators. To this goal, we first derive and then rewrite the first order optimality conditions of these hyperparameter estimators, leading to several insights on these hyperparameter estimators. Then we show that as the number of data goes to infinity, the two SUREs converge to the best hyperparameter minimizing the corresponding mean square error, respectively, while the more widely used EB estimator converges to another best hyperparameter minimizing the expectation of the EB estimation criterion. This indicates that the two SUREs are asymptotically optimal in the corresponding MSE senses but the EB estimator is not. Surprisingly, the convergence rate of two SUREs is slower than that of the EB estimator, and moreover, unlike the two SUREs, the EB estimator is independent of the convergence rate of Φ T Φ ∕ N to its limit, where Φ is the regression matrix and N is the number of data. A Monte Carlo simulation is provided to demonstrate the theoretical results.