A Learning Theory Approach to a Computationally Efficient Parameter Selection for the Elastic Net

Despite recent advances in regularisation theory, the issue of parameter selection still remains a challenge for most applications. In a recent work the framework of statistical learning was used to approximate the optimal Tikhonov regularisation parameter from noisy data. In this work, we improve their results and extend the analysis to the elastic net regularisation, providing explicit error bounds on the accuracy of the approximated parameter and the corresponding regularisation solution in a simplified case. Furthermore, in the general case we design a data-driven, automated algorithm for the computation of an approximate regularisation parameter. Our analysis combines statistical learning theory with insights from regularisation theory. We compare our approach with state-of-the-art parameter selection criteria and illustrate its superiority in terms of accuracy and computational time on simulated and real data sets.