Section: New Results

The distribution of the Lasso: Uniform control over sparse balls and adaptive parameter tuning

This is a joint work with Andrea Montanari. The Lasso is a popular regression method for high-dimensional problems in which the number of parameters ${\theta }_1,\cdots ,{\theta }_N$, is larger than the number $n$ of samples: $N>n$. A useful heuristics relates the statistical properties of the Lasso estimator to that of a simple soft-thresholding denoiser, in a denoising problem in which the parameters ${\left({\theta }_i\right)}_{i\le N}$ are observed in Gaussian noise, with a carefully tuned variance. Earlier work confirmed this picture in the limit $n,N\to \infty$, pointwise in the parameters $\theta$, and in the value of the regularization parameter.

Here, we consider a standard random design model and prove exponential concentration of its empirical distribution around the prediction provided by the Gaussian denoising model. Crucially, our results are uniform with respect to $\theta$ belonging to ${\ell }_q$ balls, $q\in [0,1]$, and with respect to the regularization parameter. This allows to derive sharp results for the performances of various data-driven procedures to tune the regularization.

Our proofs make use of Gaussian comparison inequalities, and in particular of a version of Gordon's minimax theorem developed by Thrampoulidis, Oymak, and Hassibi, which controls the optimum value of the Lasso optimization problem. Crucially, we prove a stability property of the minimizer in Wasserstein distance, that allows to characterize properties of the minimizer itself.