Localized Gaussian width of $M$-convex hulls with applications to Lasso and convex aggregation

Abstract: Upper and lower bounds are derived for the Gaussian mean width of the intersection of a convex hull of $M$ points with an Euclidean ball of a given radius. The upper bound holds for any collection of extreme point bounded in Euclidean norm. The upper bound and the lower bound match up to a multiplicative constant whenever the extreme points satisfy a one sided Restricted Isometry Property. This bound is then applied to study the Lasso estimator in fixed-design regression, the Empirical Risk Minimizer in the anisotropic persistence problem, and the convex aggregation problem in density estimation.