Gradient descent for robust kernel-based regression

In this paper, we study the gradient descent algorithm generated by a robust loss function over a reproducing kernel Hilbert space (RKHS). The loss function is defined by a windowing function G and a scale parameter σ, which can include a wide range of commonly used robust losses for regression. There is still a gap between theoretical analysis and optimization process of empirical risk minimization based on loss: the estimator needs to be global optimal in the theoretical analysis while the optimization method can not ensure the global optimality of its solutions. In this paper, we aim to fill this gap by developing a novel theoretical analysis on the performance of estimators generated by the gradient descent algorithm. We demonstrate that with an appropriately chosen scale parameter σ, the gradient update with early stopping rules can approximate the regression function. Our elegant error analysis can lead to convergence in the standard L 2 norm and the strong RKHS norm, both of which are optimal in the mini-max sense. We show that the scale parameter σ plays an important role in providing robustness as well as fast convergence. The numerical experiments implemented on synthetic examples and real data set also support our theoretical results.