Deep Single-Index Fréchet Regression

Regression with non-Euclidean responses---e.g., probability distributions, networks, symmetric positive-definite matrices, and compositions---has become increasingly important in modern applications. In this paper, we propose deep Fréchet neural networks (DFNNs), an end-to-end deep learning framework for predicting non-Euclidean responses---which are considered as random objects in a metric space---from Euclidean predictors. Our method utilizes the representation-learning power of deep neural networks (DNNs) to the task of approximating conditional Fréchet means of the response given the predictors, the metric-space analogue of conditional expectations, by minimizing a Fréchet risk. The framework is highly flexible, accommodating diverse metrics and high-dimensional predictors. We establish a universal approximation theorem for DFNNs, advancing the state-of-the-art of neural network approximation theory to general metric-space-valued responses, without making model assumptions or relying on local smoothing. We further establish rigorous generalization guarantees for DFNNs and derive corresponding risk bounds, providing, to the best of our knowledge, the first such theoretical results for deep learning regression with metric-space-valued responses. Empirical studies on synthetic distributional and network-valued responses, as well as real-world applications to predicting compositional responses in an Aitchison simplex and spherical responses, demonstrate that DFNNs consistently outperform all existing methods.

Deep neural networks excel in high-dimensional problems, outperforming models such as kernel methods, which suffer from the curse of dimensionality. However, the theoretical foundations of this success remain poorly understood. We follow the idea that the compositional structure of the learning task is the key factor determining when deep networks outperform other approaches. Taking a step towards formalizing this idea, we consider a simple compositional model, namely the multi-index model (MIM). In this context, we introduce and study hyper-kernel ridge regression (HKRR), an approach blending neural networks and kernel methods. Our main contribution is a sample complexity result demonstrating that HKRR can adaptively learn MIM, overcoming the curse of dimensionality. Further, we exploit the kernel nature of the estimator to develop ad hoc optimization approaches. Indeed, we contrast alternating minimization and alternating gradient methods both theoretically and numerically. These numerical results complement and reinforce our theoretical findings.

We consider the Multiscale Single-Index Model (MSIM), first introduced in \cite{oymak2021learning}, as a stylized model for hierarchical learning with \emph{scale separation}. Each layer extracts a shared single-index feature at one physical scale and passes it to the next, thus defining a tractable setting in which to study how deep architectures learn multiscale representations. Under non-degeneracy and delocalization assumptions on the link function and planted features respectively, for fixed depth $K$ and local scale $d$, the first Wiener chaos of the target behaves as a perturbed spiked tensor, where the perturbation of order $d^{-1/2}$ comes from the non-linearity -- revealing the MSIM as a natural non-linear analogue of the Tensor PCA model \cite{montanari2014statistical}. While this perturbative picture is sufficient to enable efficient spectral recovery based on Tensor unfolding (as already observed in \cite{oymak2021learning}), it is not precise enough for the analysis of backpropagation gradient-based methods. In this work, we address this limitation by performing a fine-grained analysis of the Wiener chaos using Edgeworth expansions. In the first chaos, this gives a finite-rank hierarchy at scales $d^{-q/2}$. In higher chaoses, balanced flattenings exhibit staircase singular-value plateaus of size $d^{-ρ/2}$ and multiplicity $d^ρ$ under a natural higher-chaos non-cancellation condition. Using this higher-chaos structure, and under an additional slow Hermite-energy tail condition, we first establish shallow-network approximation lower bounds, quantifying the benefit of depth in this model. Next, and most importantly, we prove that online SGD on the correlation objective, where all layers evolve in the same timescale, achieves $1 - o_d(1)$ recovery with $n = \widetilde{O}( d^{K-1})$ samples, recovering the same sample complexity as in the linear counterpart.