Convex regression provides a flexible nonparametric estimation framework while incorporating appropriate shape information. However, its standard least-squares formulation has O(n2) supporting-hyperplane constraints creating a computational bottleneck as the sample size n increases. We study a K-nearest-neighbor (KNN) localized relaxation for convex regression where we for each sample, we only maintain the K nearest hyperplane constraints. Under mild regularity conditions, we establish statistical guarantees for our modified estimator in every fixed dimension d≥2. In particular, for d>4, the population risk of our modified problem can be shown to have equivalent convergence rates as the original least square convex regression estimator of O(n−2/d) using neighborhoods sizes (i.e. K=Kn) of order O(n2(d−1)/(2d−1)) for general convex functions and O(n(d+1)/(d+2)) for strongly convex functions. To corroborate our theory, we implement iterative optimization methods to compare the prediction accuracy of the KNN relaxation with those of the full estimator across synthetic convex benchmarks. Our experiments demonstrate that KNN prediction risk approaches the full-estimator prediction risk at neighborhood sizes matching the theoretical scale.
Figures & tables
Dimension
Kn (Convex)
Kn (Strongly Convex)
RA(f0)
2≤d<4
n(2d−1)(d+4)(d−1)(3d+4)
n1−(d+4)(d+2)2d
n−4/(d+4)
d=4
n6/7
n5/6
n−1/2
d>4
n2d−12(d−1)
nd+2d+1
n−2/d
Table 1: Sufficient Kn and associated MSE risk orders with logarithmic factors being suppressed suppressed.
RK/RF
d
K=19
K=81
K=348
K=501
Full quadratic
3
93.6
1.02
1
1
4
86
1.11
1
1
5
129
1.24
1
1
10
3.7
1.05
1
1
Table 2: Ratio of empirical risk for KNN convex regression solution to full convex regression solution for different problems and dimension at n=1500 . We can see the convergence of risk to 1 for sufficiently large K .
Figure 1: Risk curves for the four synthetic convex regression truths and varying dimensions. The differing colors represent different values of n and the vertical opaque bands represent what our theoretical limits mark as sufficient values of Kn . The risk levels converge to the full problems risk well before the predicted value of K .
School of Statistics and Data Science, Southeast University · Faculty of Business for Science and Technology, School of Management, University of Science and Technology of China