Minimax Robust Function Reconstruction in Reproducing Kernel Hilbert Spaces

TL;DR

This paper introduces a minimax robust approach for function reconstruction in RKHS that unifies and extends existing methods, providing stable solutions under uncertain observations through convex optimization.

Contribution

It establishes a novel optimality property for various approximation techniques and characterizes a stable, convex-optimization-based solution for uncertain observational data.

Findings

Minimax robust reconstruction is equivalent to a convex optimization problem.

The method offers increased stability over traditional interpolation.

Under mild conditions, the approach guarantees unconditional stability.

Abstract

In this paper, we present a unified approach to function approximation in reproducing kernel Hilbert spaces (RKHS) that establishes a previously unrecognized optimality property for several well-known function approximation techniques, such as minimum-norm interpolation, smoothing splines, and pseudo-inverses. We consider the problem of approximating a function belonging to an arbitrary real-valued RKHS on R^d based on approximate observations of the function. The observations are approximate in the sense that the actual observations (i.e., the true function values) are known only to belong to a convex set of admissible observations. We seek a minimax optimal approximation for the function that minimizes the supremum of the RKHS norm on the error between the true function and the chosen approximation subject only to the conditions that the true function belongs to a uniformly bounded uncertainty set of functions that satisfy the constraints on the observations and that the approximation is a member of the RKHS. We refer to such a solution as a minimax robust reconstruction. We characterize the solution to the minimax robust reconstruction problem and show that it is equivalent to solving a straightforward convex optimization problem. We demonstrate that a minimax robust reconstruction will generally be more stable than an approximation based on interpolation through a nominal set of observations and that, subject to some mild regularity conditions on the convex set of admissible observations, the minimax robust reconstruction is unconditionally stable. We motivate our results by characterizing the minimax robust reconstruction for several specific convex observational models and discuss relationships with other approaches to function approximation.