Polynomial-time lower bound for regression risk

Fix πP2(R)\pi\in\mathcal P_2(\mathbb R), δ(0,)\delta\in(0,\infty), and σ>0\sigma>0. Consider sequences of dimensions, Gaussian design matrices, coefficient vectors, and noise vectors satisfying the HDA and RSN assumptions at π,δ,σ\pi,\delta,\sigma. Polynomial-time regression lower-bound conjecture. No polynomial-time algorithm achieves asymptotic risk smaller than δτreg,alg2σ2\delta\tau_{\mathsf{reg,alg}*}^2-\sigma^2. This conjecture asserts a computational barrier matching the risk attained asymptotically by Bayes-AMP; the paper states that no polynomial-time algorithm achieving a lower risk is known.

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Primary source

Michael Celentano and Andrea Montanari, “Fundamental Barriers to High-Dimensional Regression with Convex Penalties”, arXiv:1903.10603 (2022).

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