New Bounds for Hyperparameter Tuning of Regression Problems Across Instances

Abstract

The task of tuning regularization coefficients in regularized regression models with provable guarantees across problem instances still poses a significant challenge in the literature. This paper investigates the sample complexity of tuning regularization parameters in linear and logistic regressions under $\ell_1$ and $\ell_2$-constraints in the data-driven setting. For the linear regression problem, by more carefully exploiting the structure of the dual function class, we provide a new upper bound for the pseudo-dimension of the validation loss function class, which significantly improves the best-known results on the problem. Remarkably, we also instantiate the first matching lower bound, proving our results are tight. For tuning the regularization parameters of logistic regression, we introduce a new approach to studying the learning guarantee via an approximation of the validation loss function class. We examine the pseudo-dimension of the approximation class and construct a uniform error bound between the validation loss function class and its approximation, which allows us to instantiate the first learning guarantee for the problem of tuning logistic regression regularization coefficients.