The problem of approximating a function from a set of discrete measurements has been extensively studied since the seventies. Our theoretical analysis proposes a formalization of the function approximation problem which allows dealing with inverse problems and supervised kernel learning as two sides of the same coin. The proposed formalization takes into account arbitrary noisy data (deterministically or statistically defined), arbitrary loss functions (possibly seen as a log-likelihood), handling both direct and indirect measurements. The core idea of this part relies on the analogy between statistical learning and inverse problems. One of the main evidences of the connection occurring across these two areas is that regularization methods, usually developed for ill-posed inverse problems, can be used for solving learning problems. Furthermore, spectral regularization convergence rate analyses provided in these two areas, share the same source conditions but are carried out with either increasing number of samples in learning theory or decreasing noise level in inverse problems. Even more in general, regularization via sparsity-enhancing methods is widely used in both areas and it is possible to apply well-known ell1-penalized methods for solving both learning and inverse problems. In the first part of the Thesis, we analyze such a connection at three levels: (1) at an infinite dimensional level, we define an abstract function approximation problem from which the two problems can be derived; (2) at a discrete level, we provide a unified formulation according to a suitable definition of sampling; and (3) at a convergence rates level, we provide a comparison between convergence rates given in the two areas, by quantifying the relation between the noise level and the number of samples. In the second part of the Thesis, we focus on a specific class of problems where measurements are distributed according to a Poisson law. We provide a data-driven, asymptotically unbiased, and globally quadratic approximation of the Kullback-Leibler divergence and we propose Lasso-type methods for solving sparse Poisson regression problems, named PRiL for Poisson Reweighed Lasso and an adaptive version of this method, named APRiL for Adaptive Poisson Reweighted Lasso, proving consistency properties in estimation and variable selection, respectively. Finally we consider two problems in solar physics: 1) the problem of forecasting solar flares (learning application) and 2) the desaturation problem of solar flare images (inverse problem application). The first application concerns the prediction of solar storms using images of the magnetic field on the sun, in particular physics-based features extracted from active regions from data provided by Helioseismic and Magnetic Imager (HMI) on board the Solar Dynamics Observatory (SDO). The second application concerns the reconstruction problem of Extreme Ultra-Violet (EUV) solar flare images recorded by a second instrument on board SDO, the Atmospheric Imaging Assembly (AIA). We propose a novel sparsity-enhancing method SE-DESAT to reconstruct images affected by saturation and diffraction, without using any a priori estimate of the background solar activity
