Generic chaining and the l1-penalty

Abstract

We address the choice of the tuning parameter $\lambda$ in $\ell_1$-penalized M-estimation. Our main concern is models which are highly nonlinear, such as the Gaussian mixture model. The number of parameters $p$ is moreover large, possibly larger than the number of observations $n$. The generic chaining technique of Talagrand[2005] is tailored for this problem. It leads to the choice $\lambda \asymp \sqrt {\log p / n}$, as in the standard Lasso procedure (which concerns the linear model and least squares loss).