Comparing regularisation paths of (conjugate) gradient estimators in ridge regression

We consider standard gradient descent, gradient flow and conjugate gradients as iterative algorithms for minimizing a penalized ridge criterion in linear regression. While it is well known that conjugate gradients exhibit fast numerical convergence, the statistical properties of their iterates are more difficult to assess due to inherent nonlinearities and dependencies. On the other hand, standard gradient flow is a linear method with well known regularizing properties when stopped early. By an explicit non-standard error decomposition we are able to bound the prediction error for conjugate gradient iterates by a corresponding prediction error of gradient flow at transformed iteration indices. This way, the risk along the entire regularisation path of conjugate gradient iterations can be compared to that for regularisation paths of standard linear methods like gradient flow and ridge regression. In particular, the oracle conjugate gradient iterate shares the optimality properties of the gradient flow and ridge regression oracles up to a constant factor. Numerical examples show the similarity of the regularisation paths in practice.