Optimal Convex and Nonconvex Regularizers for a Data Source

Abstract

In optimization-based approaches to inverse problems and to statistical estimation, it is common to augment the objective with a regularizer to address challenges associated with ill-posedness. The choice of a suitable regularizer is typically driven by prior domain information and computational considerations. Convex regularizers are attractive as they are endowed with certificates of optimality as well as the toolkit of convex analysis, but exhibit a computational scaling that makes them ill-suited beyond moderate-sized problem instances. On the other hand, nonconvex regularizers can often be deployed at scale, but do not enjoy the certification properties associated with convex regularizers. In this paper, we seek a systematic understanding of the power and the limitations of convex regularization by investigating the following questions: Given a distribution, what are the optimal regularizers, both convex and nonconvex, for data drawn from the distribution? What properties of a data source govern whether it is amenable to convex regularization? We address these questions for the class of continuous and positively homogenous regularizers for which convex and nonconvex regularizers correspond, respectively, to convex bodies and star bodies. By leveraging dual Brunn-Minkowski theory, we show that a radial function derived from a data distribution is the key quantity for identifying optimal regularizers and for assessing the amenability of a data source to convex regularization. Using tools such as \(\Gamma\)-convergence, we show that our results are robust in the sense that the optimal regularizers for a sample drawn from a distribution converge to their population counterparts as the sample size grows large. Finally, we give generalization guarantees that recover previous results for polyhedral regularizers (i.e., dictionary learning) and lead to new ones for semidefinite regularizers.