  We study high-dimensional asymptotic performance limits of binary supervised
classification problems where the class conditional densities are Gaussian with
unknown means and covariances and the number of signal dimensions scales faster
than the number of labeled training samples. We show that the Bayes error,
namely the minimum attainable error probability with complete distributional
knowledge and equally likely classes, can be arbitrarily close to zero and yet
the limiting minimax error probability of every supervised learning algorithm
is no better than a random coin toss. In contrast to related studies where the
classification difficulty (Bayes error) is made to vanish, we hold it constant
when taking high-dimensional limits. In contrast to VC-dimension based minimax
lower bounds that consider the worst case error probability over all
distributions that have a fixed Bayes error, our worst case is over the family
of Gaussian distributions with constant Bayes error. We also show that a
nontrivial asymptotic minimax error probability can only be attained for
parametric subsets of zero measure (in a suitable measure space). These results
expose the fundamental importance of prior knowledge and suggest that unless we
impose strong structural constraints, such as sparsity, on the parametric
space, supervised learning may be ineffective in high dimensional small sample
settings.
