Scaling and renormalization in high-dimensional regression

Abstract From benign overfitting in overparameterized models to rich power-law scalings in performance, simple ridge regression displays surprising behaviors sometimes thought to be limited to deep neural networks. This balance of phenomenological richness with analytical tractability makes ridge regression the model system of choice in high-dimensional machine learning. In this paper, we present a unifying perspective on recent results on ridge regression using the basic tools of random matrix theory and free probability, aimed at readers with backgrounds in physics and deep learning. We highlight the fact that statistical fluctuations in empirical covariance matrices can be absorbed into a renormalization of…

• NS
  National Science Foundation
• SO
  Society of Fellows, Harvard University
• KI
  Kavli Institute for Theoretical Physics, University of California, Santa Barbara