Depth Separation for Neural Networks under Gaussian Measure

We revisit the problem of depth separation for neural networks, as studied by Eldan and Shamir, Daniely, and others. Specifically, we consider the natural setting of $L^2$ approximation of radial functions under the standard Gaussian measure in $d$ dimensions. We show that there is a radial function in $L^2$ under the standard Gaussian measure that can be approximated to a fixed sufficiently small $L^2$ error by a depth-3 ReLU neural network of polynomial size in $d$ but can only be approximated by depth-2 networks with subexponentially bounded weights if their size is at least exponential in $d$. For that, we prove a general result showing that if a radial function has substantial mass in the high frequencies of its Hermite expansion, then it cannot be well approximated by a depth-2 neural network with small width and bounded weights. All theorems, lemmas, propositions, and corollaries are verified in Lean~4.