A Risk Comparison of Ordinary Least Squares vs Ridge Regression

We compare the risk of ridge regression to a simple variant of ordinary least squares, in which one simply projects the data onto a finite dimensional subspace (as specified by a principal component analysis) and then performs an ordinary (un- regularized) least squares regression in this subspace. This note shows that the risk of this ordinary least squares method (PCA-OLS) is within a constant factor (namely 4) of the risk of ridge regression (RR). [abs] [ pdf ][ bib ] © JMLR 2013. (edit, beta)