We study the computational aspects of the task of multivariate convex regression in dimension d ≥ 5. We present the first computationally efficient minimax optimal (up to logarithmic factors) estimators for the tasks of L-Lipschitz and Γ-bounded convex regression under polytopal support. This work is the first to show the existence of efficient minimax optimal estimators for non-Donsker classes whose corresponding Least Squares Estimators are provably minimax suboptimal. The proof of the correctness of these estimators uses a variety of tools from different disciplines, among them empirical process theory, stochastic geometry, and potential theory.
- Minimax Optimality
- Multivariate Convex Regression
- Non-Donsker Regime