arXiv:2609.07997cs.LGmath.ST2026-09

提出部分线性模型系数估计的最优风险边界,解决双机器学习关键难题。

Sharp Structure-Agnostic Minimax Risk for Partial Linear Models

  • 用近似误差与随机误差预算建模两个黑箱学习器性能。
  • 揭示风险下界与两阶段学习误差交互关系,匹配最新上界。
  • 为双机器学习中的学习器选择提供联合优化准则,适合方法研究者。

我们刻画了在结果和处理干扰项由两个独立黑箱学习器估计时,部分线性模型中系数估计的尖锐结构无关极小极大风险,解决了Gu(2025)提出的双机器学习开放问题。对每个干扰项 $q\=\{μ,\pi\}$,通过近似误差预算 $a_q$ 和随机误差预算 $s_q$ 表征可用学习器,后者通过局部Rademacher复杂度控制。记 $Ε_n$ 为极小极大均方误差,我们证明 \\[ Ε_n \asymp 1\wedge\left\{\frac1n+\left(a_\mu a_\pi+\min\left\{a_\pi s_\mu+s_\pi^2,\,a_\mu s_\pi+s_\mu^2\right\}\right)^2\right\}. \\[ 关键创新在于构造四类有限混合检验实验,使用正交码函数,分别将隐藏扰动置于两个学习器类之外、仅处理学习器类外、仅结果学习器类外或两者内部。这四种配置分别捕捉了两近似误差的交互、单个近似误差与另一学习误差的非对称交互,以及同时估计两干扰项的联合难度。结合四个下界得到的速率与Gu(2026)最新上界一致。结果表明,标准双机器学习可能高估目标估计的内在难度,并提供了目标特定的学习器选择原则:必须在两个干扰学习器间联合平衡近似误差与随机复杂度,而非单独优化。

原文摘要 · Abstract (English)

We characterize the sharp structure-agnostic minimax risk for coefficient estimation in the partial linear model when the outcome and treatment nuisances are learned by two distinct black-box learners, which resolves the open problem in double machine learning posed by Gu (2025). For each nuisance \(q\in\{\mu,\pi\}\), we characterize the available learner by an approximation-error budget \(a_q\) and a stochastic-error budget \(s_q\), with the latter controlled through localized Rademacher complexity. Writing \(\mathcal E_n\) for the minimax mean-squared error, we show that \[\mathcal E_n\asymp1\wedge\left\{\frac1n+\left(a_\mu a_\pi+\min\left\{a_\pi s_\mu+s_\pi^2,\,a_\mu s_\pi+s_\mu^2\right\}\right)^2\right\}.\] The main new ingredient is a novel lower bound for the general two-learner problem. Our proof constructs four finite-mixture testing experiments using orthogonal code functions. Across these experiments, the hidden perturbations are placed outside both learner classes, outside only the treatment learner class, outside only the outcome learner class, or inside both learner classes. These four configurations capture, respectively, the interaction between the two approximation errors, the two asymmetric interactions between one learner's approximation error and the other learner's learning error, and the joint estimation difficulty of learning both nuisances. Combining the four resulting lower bounds yields the displayed rate, which matches the latest upper bound in Gu (2026). Our result shows that standard double machine learning can overstate the intrinsic difficulty of target estimation and provides a target-specific principle for learner selection: approximation error and stochastic complexity must be jointly balanced across the two nuisance learners rather than optimized separately.

统计学习双机器学习极小极大风险模型评估

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