Surprises in high-dimensional ridgeless least squares interpolation

Interpolators—estimators that achieve zero training error—have attracted growing attention in machine learning, mainly because state-of-the art neural networks appear to be models of this type. In this paper, we study minimum ℓ2 norm (“ridgeless”) interpolation least squares regression, focusing on the high-dimensional regime in which the number of unknown parameters p is of the same order as the number of samples n. We consider two different models for the feature distribution: a linear model, where the feature vectors xi∈Rp are obtained by applying a linear transform to a vector of i.i.d. entries, xi=Σ1/2zi (with zi∈Rp); and a nonlinear model, where the feature vectors are obtained by passing the input…