Determining the Regularization Parameters for the Solution of Ill-posed Least Squares: Using the χ2 -distribution and applying to seismic signals Rosemary Renaut, Joint work with Jodi Mead Arizona State and Boise State November 2007 Renaut (ASU) Scalar Newton method November 2007 1 / 46 Outline 1 Introduction- Ill-posed least squares Regularization Some Standard Methods for Parameter Estimation 2 A Statistically based method: Chi squared Method Background Algorithm Single Variable Newton Method Extend for General D: Generalized Tikhonov Observations 3 Results 4 Conclusions 5 References Renaut (ASU) Scalar Newton method November 2007 2 / 46 Least Squares Solutions of Overdetermined Ax = b Problem Find x which solves Ax = b: A ∈ Rm×n , b ∈ Rm , x ∈ Rn . Classical Approach Linear Least Squares xLS = arg min ||Ax − b||22 x • Orthogonal projection of b onto the range of A. Dense A Form QR Decomposition of A, solve directly Rx = Q T b. Sparse A Use iterative techniques, CG, Krylov subspace, etc. Renaut (ASU) Scalar Newton method November 2007 3 / 46 Least Squares Solutions of Overdetermined Ax = b Problem Find x which solves Ax = b: A ∈ Rm×n , b ∈ Rm , x ∈ Rn . Classical Approach Linear Least Squares xLS = arg min ||Ax − b||22 x • Orthogonal projection of b onto the range of A. Dense A Form QR Decomposition of A, solve directly Rx = Q T b. Sparse A Use iterative techniques, CG, Krylov subspace, etc. Renaut (ASU) Scalar Newton method November 2007 3 / 46 Least Squares Solutions of Overdetermined Ax = b Problem Find x which solves Ax = b: A ∈ Rm×n , b ∈ Rm , x ∈ Rn . Classical Approach Linear Least Squares xLS = arg min ||Ax − b||22 x • Orthogonal projection of b onto the range of A. Dense A Form QR Decomposition of A, solve directly Rx = Q T b. Sparse A Use iterative techniques, CG, Krylov subspace, etc. Renaut (ASU) Scalar Newton method November 2007 3 / 46 Least Squares Solutions of Overdetermined Ax = b Problem Find x which solves Ax = b: A ∈ Rm×n , b ∈ Rm , x ∈ Rn . Classical Approach Linear Least Squares xLS = arg min ||Ax − b||22 x • Orthogonal projection of b onto the range of A. Dense A Form QR Decomposition of A, solve directly Rx = Q T b. Sparse A Use iterative techniques, CG, Krylov subspace, etc. Renaut (ASU) Scalar Newton method November 2007 3 / 46 Least Squares Solutions of Overdetermined Ax = b Problem Find x which solves Ax = b: A ∈ Rm×n , b ∈ Rm , x ∈ Rn . Classical Approach Linear Least Squares xLS = arg min ||Ax − b||22 x • Orthogonal projection of b onto the range of A. Dense A Form QR Decomposition of A, solve directly Rx = Q T b. Sparse A Use iterative techniques, CG, Krylov subspace, etc. Renaut (ASU) Scalar Newton method November 2007 3 / 46 Solution by Singular Value Decomposition: A = UΣV T 1 A is of rank r then xLS = r X uT b i i=1 σi vi . 2 If r < n the xLS is solution with minimum 2-norm 3 Sensitivity: Division by small σi in xLS amplifies high-frequency components in b. 4 Sensitivity: of xLS to changes in model Ax = b inversely proportional to σr . 5 Sensitivity: of xLS , equivalently, to the condition number of A, (maybe squared). xLS is sensitive to changes in the right hand side b when A is ill-conditioned. Renaut (ASU) Scalar Newton method November 2007 4 / 46 Solution by Singular Value Decomposition: A = UΣV T 1 A is of rank r then xLS = r X uT b i i=1 σi vi . 2 If r < n the xLS is solution with minimum 2-norm 3 Sensitivity: Division by small σi in xLS amplifies high-frequency components in b. 4 Sensitivity: of xLS to changes in model Ax = b inversely proportional to σr . 5 Sensitivity: of xLS , equivalently, to the condition number of A, (maybe squared). xLS is sensitive to changes in the right hand side b when A is ill-conditioned. Renaut (ASU) Scalar Newton method November 2007 4 / 46 Solution by Singular Value Decomposition: A = UΣV T 1 A is of rank r then xLS = r X uT b i i=1 σi vi . 2 If r < n the xLS is solution with minimum 2-norm 3 Sensitivity: Division by small σi in xLS amplifies high-frequency components in b. 4 Sensitivity: of xLS to changes in model Ax = b inversely proportional to σr . 5 Sensitivity: of xLS , equivalently, to the condition number of A, (maybe squared). xLS is sensitive to changes in the right hand side b when A is ill-conditioned. Renaut (ASU) Scalar Newton method November 2007 4 / 46 Solution by Singular Value Decomposition: A = UΣV T 1 A is of rank r then xLS = r X uT b i i=1 σi vi . 2 If r < n the xLS is solution with minimum 2-norm 3 Sensitivity: Division by small σi in xLS amplifies high-frequency components in b. 4 Sensitivity: of xLS to changes in model Ax = b inversely proportional to σr . 5 Sensitivity: of xLS , equivalently, to the condition number of A, (maybe squared). xLS is sensitive to changes in the right hand side b when A is ill-conditioned. Renaut (ASU) Scalar Newton method November 2007 4 / 46 Solution by Singular Value Decomposition: A = UΣV T 1 A is of rank r then xLS = r X uT b i i=1 σi vi . 2 If r < n the xLS is solution with minimum 2-norm 3 Sensitivity: Division by small σi in xLS amplifies high-frequency components in b. 4 Sensitivity: of xLS to changes in model Ax = b inversely proportional to σr . 5 Sensitivity: of xLS , equivalently, to the condition number of A, (maybe squared). xLS is sensitive to changes in the right hand side b when A is ill-conditioned. Renaut (ASU) Scalar Newton method November 2007 4 / 46 Solution by Singular Value Decomposition: A = UΣV T 1 A is of rank r then xLS = r X uT b i i=1 σi vi . 2 If r < n the xLS is solution with minimum 2-norm 3 Sensitivity: Division by small σi in xLS amplifies high-frequency components in b. 4 Sensitivity: of xLS to changes in model Ax = b inversely proportional to σr . 5 Sensitivity: of xLS , equivalently, to the condition number of A, (maybe squared). xLS is sensitive to changes in the right hand side b when A is ill-conditioned. Renaut (ASU) Scalar Newton method November 2007 4 / 46 Example for Ill-Posed Problem: Integral Equations Z input X system dΩ = output Ω • Given noisy output determine input • General Application: Signal/Image Restoration • Signal degradation is modeled as a convolution b=a⊗x+n • b is the blurred signal,x is the unknown signal • a is the point spread function (PSF)- known • n is noise • Matrix Formulation b = Ax + n Renaut (ASU) Scalar Newton method November 2007 5 / 46 Example for Ill-Posed Problem: Integral Equations Z input X system dΩ = output Ω • Given noisy output determine input • General Application: Signal/Image Restoration • Signal degradation is modeled as a convolution b=a⊗x+n • b is the blurred signal,x is the unknown signal • a is the point spread function (PSF)- known • n is noise • Matrix Formulation b = Ax + n Renaut (ASU) Scalar Newton method November 2007 5 / 46 Example for Ill-Posed Problem: Integral Equations Z input X system dΩ = output Ω • Given noisy output determine input • General Application: Signal/Image Restoration • Signal degradation is modeled as a convolution b=a⊗x+n • b is the blurred signal,x is the unknown signal • a is the point spread function (PSF)- known • n is noise • Matrix Formulation b = Ax + n Renaut (ASU) Scalar Newton method November 2007 5 / 46 Example for Ill-Posed Problem: Integral Equations Z input X system dΩ = output Ω • Given noisy output determine input • General Application: Signal/Image Restoration • Signal degradation is modeled as a convolution b=a⊗x+n • b is the blurred signal,x is the unknown signal • a is the point spread function (PSF)- known • n is noise • Matrix Formulation b = Ax + n Renaut (ASU) Scalar Newton method November 2007 5 / 46 Example for Ill-Posed Problem: Integral Equations Z input X system dΩ = output Ω • Given noisy output determine input • General Application: Signal/Image Restoration • Signal degradation is modeled as a convolution b=a⊗x+n • b is the blurred signal,x is the unknown signal • a is the point spread function (PSF)- known • n is noise • Matrix Formulation b = Ax + n Renaut (ASU) Scalar Newton method November 2007 5 / 46 Example for Ill-Posed Problem: Integral Equations Z input X system dΩ = output Ω • Given noisy output determine input • General Application: Signal/Image Restoration • Signal degradation is modeled as a convolution b=a⊗x+n • b is the blurred signal,x is the unknown signal • a is the point spread function (PSF)- known • n is noise • Matrix Formulation b = Ax + n Renaut (ASU) Scalar Newton method November 2007 5 / 46 Example for Ill-Posed Problem: Integral Equations Z input X system dΩ = output Ω • Given noisy output determine input • General Application: Signal/Image Restoration • Signal degradation is modeled as a convolution b=a⊗x+n • b is the blurred signal,x is the unknown signal • a is the point spread function (PSF)- known • n is noise • Matrix Formulation b = Ax + n Renaut (ASU) Scalar Newton method November 2007 5 / 46 Example for Ill-Posed Problem: Integral Equations Z input X system dΩ = output Ω • Given noisy output determine input • General Application: Signal/Image Restoration • Signal degradation is modeled as a convolution b=a⊗x+n • b is the blurred signal,x is the unknown signal • a is the point spread function (PSF)- known • n is noise • Matrix Formulation b = Ax + n Renaut (ASU) Scalar Newton method November 2007 5 / 46 Example Of Convolution b=a⊗x Renaut (ASU) Scalar Newton method November 2007 6 / 46 Restoration of x with noise added, n • Find x from b = a ⊗ x + n given b and a with unknown n. • Assuming normal distributed n yields the estimator xLS = arg min{kb − a ⊗ xk22 } x • Reconstruction with n normally distributed, mean 0 and variance 10−7 ) Renaut (ASU) Scalar Newton method November 2007 7 / 46 Restoration of x with noise added, n • Find x from b = a ⊗ x + n given b and a with unknown n. • Assuming normal distributed n yields the estimator xLS = arg min{kb − a ⊗ xk22 } x • Reconstruction with n normally distributed, mean 0 and variance 10−7 ) Renaut (ASU) Scalar Newton method November 2007 7 / 46 Restoration of x with noise added, n • Find x from b = a ⊗ x + n given b and a with unknown n. • Assuming normal distributed n yields the estimator xLS = arg min{kb − a ⊗ xk22 } x • Reconstruction with n normally distributed, mean 0 and variance 10−7 ) Renaut (ASU) Scalar Newton method November 2007 7 / 46 Restoration of x with noise added, n • Find x from b = a ⊗ x + n given b and a with unknown n. • Assuming normal distributed n yields the estimator xLS = arg min{kb − a ⊗ xk22 } x • Reconstruction with n normally distributed, mean 0 and variance 10−7 ) Renaut (ASU) Scalar Newton method November 2007 7 / 46 Regularization • Add more information about the signal • Regularize xLS = arg min{kb − a ⊗ xk22 + λR(x)}, x where R(x) is a regularization term • λ is a regularization parameter which is unknown. Notice that the solution is xLS (λ), dependent on λ. It also depends on choice of R. Renaut (ASU) Scalar Newton method November 2007 8 / 46 Regularization • Add more information about the signal • Regularize xLS = arg min{kb − a ⊗ xk22 + λR(x)}, x where R(x) is a regularization term • λ is a regularization parameter which is unknown. Notice that the solution is xLS (λ), dependent on λ. It also depends on choice of R. Renaut (ASU) Scalar Newton method November 2007 8 / 46 Regularization • Add more information about the signal • Regularize xLS = arg min{kb − a ⊗ xk22 + λR(x)}, x where R(x) is a regularization term • λ is a regularization parameter which is unknown. Notice that the solution is xLS (λ), dependent on λ. It also depends on choice of R. Renaut (ASU) Scalar Newton method November 2007 8 / 46 Regularization • Add more information about the signal • Regularize xLS = arg min{kb − a ⊗ xk22 + λR(x)}, x where R(x) is a regularization term • λ is a regularization parameter which is unknown. Notice that the solution is xLS (λ), dependent on λ. It also depends on choice of R. Renaut (ASU) Scalar Newton method November 2007 8 / 46 2 Tikhonov Regularized Least Squares for Ax = b R(x) = kD(x − x0 )kW x Formulation Generalized Tikhonov regularization, operator D acts on x. x̂ = argmin J(x) = argmin{kAx − bk2Wb + kD(x − x0 )k2Wx }. (1) Assume N (A) ∩ N (D) = ∅ Weighting matrix Wb is inverse covariance matrix for data b. x0 is a reference solution, often x0 = 0. Standard: Wx = λI = I/σx2 , σx2 the variance in data x, D = I, (1) is x̂(λ) = argmin J(x) = argmin{kAx − bk2Wb + λkD(x − x0 )k2 }. (2) Question What is the correct λ? Is choice of λ important? Renaut (ASU) Scalar Newton method November 2007 9 / 46 2 Tikhonov Regularized Least Squares for Ax = b R(x) = kD(x − x0 )kW x Formulation Generalized Tikhonov regularization, operator D acts on x. x̂ = argmin J(x) = argmin{kAx − bk2Wb + kD(x − x0 )k2Wx }. (1) Assume N (A) ∩ N (D) = ∅ Weighting matrix Wb is inverse covariance matrix for data b. x0 is a reference solution, often x0 = 0. Standard: Wx = λI = I/σx2 , σx2 the variance in data x, D = I, (1) is x̂(λ) = argmin J(x) = argmin{kAx − bk2Wb + λkD(x − x0 )k2 }. (2) Question What is the correct λ? Is choice of λ important? Renaut (ASU) Scalar Newton method November 2007 9 / 46 2 Tikhonov Regularized Least Squares for Ax = b R(x) = kD(x − x0 )kW x Formulation Generalized Tikhonov regularization, operator D acts on x. x̂ = argmin J(x) = argmin{kAx − bk2Wb + kD(x − x0 )k2Wx }. (1) Assume N (A) ∩ N (D) = ∅ Weighting matrix Wb is inverse covariance matrix for data b. x0 is a reference solution, often x0 = 0. Standard: Wx = λI = I/σx2 , σx2 the variance in data x, D = I, (1) is x̂(λ) = argmin J(x) = argmin{kAx − bk2Wb + λkD(x − x0 )k2 }. (2) Question What is the correct λ? Is choice of λ important? Renaut (ASU) Scalar Newton method November 2007 9 / 46 2 Tikhonov Regularized Least Squares for Ax = b R(x) = kD(x − x0 )kW x Formulation Generalized Tikhonov regularization, operator D acts on x. x̂ = argmin J(x) = argmin{kAx − bk2Wb + kD(x − x0 )k2Wx }. (1) Assume N (A) ∩ N (D) = ∅ Weighting matrix Wb is inverse covariance matrix for data b. x0 is a reference solution, often x0 = 0. Standard: Wx = λI = I/σx2 , σx2 the variance in data x, D = I, (1) is x̂(λ) = argmin J(x) = argmin{kAx − bk2Wb + λkD(x − x0 )k2 }. (2) Question What is the correct λ? Is choice of λ important? Renaut (ASU) Scalar Newton method November 2007 9 / 46 2 Tikhonov Regularized Least Squares for Ax = b R(x) = kD(x − x0 )kW x Formulation Generalized Tikhonov regularization, operator D acts on x. x̂ = argmin J(x) = argmin{kAx − bk2Wb + kD(x − x0 )k2Wx }. (1) Assume N (A) ∩ N (D) = ∅ Weighting matrix Wb is inverse covariance matrix for data b. x0 is a reference solution, often x0 = 0. Standard: Wx = λI = I/σx2 , σx2 the variance in data x, D = I, (1) is x̂(λ) = argmin J(x) = argmin{kAx − bk2Wb + λkD(x − x0 )k2 }. (2) Question What is the correct λ? Is choice of λ important? Renaut (ASU) Scalar Newton method November 2007 9 / 46 2 Tikhonov Regularized Least Squares for Ax = b R(x) = kD(x − x0 )kW x Formulation Generalized Tikhonov regularization, operator D acts on x. x̂ = argmin J(x) = argmin{kAx − bk2Wb + kD(x − x0 )k2Wx }. (1) Assume N (A) ∩ N (D) = ∅ Weighting matrix Wb is inverse covariance matrix for data b. x0 is a reference solution, often x0 = 0. Standard: Wx = λI = I/σx2 , σx2 the variance in data x, D = I, (1) is x̂(λ) = argmin J(x) = argmin{kAx − bk2Wb + λkD(x − x0 )k2 }. (2) Question What is the correct λ? Is choice of λ important? Renaut (ASU) Scalar Newton method November 2007 9 / 46 2 Tikhonov Regularized Least Squares for Ax = b R(x) = kD(x − x0 )kW x Formulation Generalized Tikhonov regularization, operator D acts on x. x̂ = argmin J(x) = argmin{kAx − bk2Wb + kD(x − x0 )k2Wx }. (1) Assume N (A) ∩ N (D) = ∅ Weighting matrix Wb is inverse covariance matrix for data b. x0 is a reference solution, often x0 = 0. Standard: Wx = λI = I/σx2 , σx2 the variance in data x, D = I, (1) is x̂(λ) = argmin J(x) = argmin{kAx − bk2Wb + λkD(x − x0 )k2 }. (2) Question What is the correct λ? Is choice of λ important? Renaut (ASU) Scalar Newton method November 2007 9 / 46 1-D Original and Noisy Signal Renaut (ASU) Scalar Newton method November 2007 10 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Solution for Different Choices of λ Renaut (ASU) Scalar Newton method November 2007 11 / 46 Another Example: Image Reconstruction Shepp-Logan Phantom Without Noise in the Data .1% Noise in the Data Renaut (ASU) Scalar Newton method November 2007 12 / 46 Some standard approaches I: L-curve - Find the corner Let r(λ) = (A(λ) − A)b: Influence Matrix A(λ) = A(AT Wb A + λD T D)−1 AT Plot log(kDxk), log(kr(λ)k) Find corner Trade off contributions. Expensive - requires range of λ. GSVD makes calculations efficient. Not statistically based No corner Renaut (ASU) Scalar Newton method November 2007 13 / 46 Some standard approaches II: Generalized Cross-Validation (GCV) Minimizes GCV function 2 kb − Ax(λ)kW b [trace(Im − A(λ))]2 , which estimates predictive risk. Multiple minima Expensive - requires range of λ. GSVD makes calculations efficient. Statistically based Requires minimum Sometimes flat Renaut (ASU) Scalar Newton method November 2007 14 / 46 Some standard approaches III: Unbiased Predictive Risk Estimation (UPRE) Minimize expected value of predictive risk: Minimize UPRE function kb − Ax(λ)k2Wb +2 trace(A(λ)) − m Expensive - requires range of λ. GSVD makes calculations efficient. Statistically based Minimum needed Renaut (ASU) Scalar Newton method November 2007 15 / 46 Development The Chi squared Method (Mead 2007) Its Background A Newton algorithm Some Examples Future Work Renaut (ASU) Scalar Newton method November 2007 16 / 46 Development The Chi squared Method (Mead 2007) Its Background A Newton algorithm Some Examples Future Work Renaut (ASU) Scalar Newton method November 2007 16 / 46 Development The Chi squared Method (Mead 2007) Its Background A Newton algorithm Some Examples Future Work Renaut (ASU) Scalar Newton method November 2007 16 / 46 Development The Chi squared Method (Mead 2007) Its Background A Newton algorithm Some Examples Future Work Renaut (ASU) Scalar Newton method November 2007 16 / 46 Development The Chi squared Method (Mead 2007) Its Background A Newton algorithm Some Examples Future Work Renaut (ASU) Scalar Newton method November 2007 16 / 46 General Result: Tikhonov (D = I) Cost functional at min is χ2 r.v. Theorem (Rao:73, Tarantola, Mead (2007)) J(x) = (b − Ax)T Cb −1 (b − Ax) + (x − x0 )T Cx −1 (x − x0 ), x and b are stochastic (need not be normal) r = b − Ax0 are iid. (Assume no components are zero) Matrices Cb = Wb −1 and Cx = Wx −1 are SPD Then for large m, minimium value of J is a random variable it follows a χ2 distribution with m degrees of freedom. Renaut (ASU) Scalar Newton method November 2007 17 / 46 General Result: Tikhonov (D = I) Cost functional at min is χ2 r.v. Theorem (Rao:73, Tarantola, Mead (2007)) J(x) = (b − Ax)T Cb −1 (b − Ax) + (x − x0 )T Cx −1 (x − x0 ), x and b are stochastic (need not be normal) r = b − Ax0 are iid. (Assume no components are zero) Matrices Cb = Wb −1 and Cx = Wx −1 are SPD Then for large m, minimium value of J is a random variable it follows a χ2 distribution with m degrees of freedom. Renaut (ASU) Scalar Newton method November 2007 17 / 46 General Result: Tikhonov (D = I) Cost functional at min is χ2 r.v. Theorem (Rao:73, Tarantola, Mead (2007)) J(x) = (b − Ax)T Cb −1 (b − Ax) + (x − x0 )T Cx −1 (x − x0 ), x and b are stochastic (need not be normal) r = b − Ax0 are iid. (Assume no components are zero) Matrices Cb = Wb −1 and Cx = Wx −1 are SPD Then for large m, minimium value of J is a random variable it follows a χ2 distribution with m degrees of freedom. Renaut (ASU) Scalar Newton method November 2007 17 / 46 General Result: Tikhonov (D = I) Cost functional at min is χ2 r.v. Theorem (Rao:73, Tarantola, Mead (2007)) J(x) = (b − Ax)T Cb −1 (b − Ax) + (x − x0 )T Cx −1 (x − x0 ), x and b are stochastic (need not be normal) r = b − Ax0 are iid. (Assume no components are zero) Matrices Cb = Wb −1 and Cx = Wx −1 are SPD Then for large m, minimium value of J is a random variable it follows a χ2 distribution with m degrees of freedom. Renaut (ASU) Scalar Newton method November 2007 17 / 46 General Result: Tikhonov (D = I) Cost functional at min is χ2 r.v. Theorem (Rao:73, Tarantola, Mead (2007)) J(x) = (b − Ax)T Cb −1 (b − Ax) + (x − x0 )T Cx −1 (x − x0 ), x and b are stochastic (need not be normal) r = b − Ax0 are iid. (Assume no components are zero) Matrices Cb = Wb −1 and Cx = Wx −1 are SPD Then for large m, minimium value of J is a random variable it follows a χ2 distribution with m degrees of freedom. Renaut (ASU) Scalar Newton method November 2007 17 / 46 Implications: Theorem implies m− √ 2zα/2 < J(x̂) < m + √ 2zα/2 for confidence interval (1 − α), x̂ the solution. Equivalently, when D = I, √ √ m − 2zα/2 < rT (ACx AT + Cb )−1 r < m + 2zα/2 . Note no assumptions on Wx : it is completely general Question Can we use the result to obtain an efficient algorithm? Renaut (ASU) Scalar Newton method November 2007 18 / 46 Implications: Theorem implies m− √ 2zα/2 < J(x̂) < m + √ 2zα/2 for confidence interval (1 − α), x̂ the solution. Equivalently, when D = I, √ √ m − 2zα/2 < rT (ACx AT + Cb )−1 r < m + 2zα/2 . Note no assumptions on Wx : it is completely general Question Can we use the result to obtain an efficient algorithm? Renaut (ASU) Scalar Newton method November 2007 18 / 46 Implications: Theorem implies m− √ 2zα/2 < J(x̂) < m + √ 2zα/2 for confidence interval (1 − α), x̂ the solution. Equivalently, when D = I, √ √ m − 2zα/2 < rT (ACx AT + Cb )−1 r < m + 2zα/2 . Note no assumptions on Wx : it is completely general Question Can we use the result to obtain an efficient algorithm? Renaut (ASU) Scalar Newton method November 2007 18 / 46 Implications: Theorem implies m− √ 2zα/2 < J(x̂) < m + √ 2zα/2 for confidence interval (1 − α), x̂ the solution. Equivalently, when D = I, √ √ m − 2zα/2 < rT (ACx AT + Cb )−1 r < m + 2zα/2 . Note no assumptions on Wx : it is completely general Question Can we use the result to obtain an efficient algorithm? Renaut (ASU) Scalar Newton method November 2007 18 / 46 Implications: Theorem implies m− √ 2zα/2 < J(x̂) < m + √ 2zα/2 for confidence interval (1 − α), x̂ the solution. Equivalently, when D = I, √ √ m − 2zα/2 < rT (ACx AT + Cb )−1 r < m + 2zα/2 . Note no assumptions on Wx : it is completely general Question Can we use the result to obtain an efficient algorithm? Renaut (ASU) Scalar Newton method November 2007 18 / 46 Single Variable Approach: Seek efficient, practical algorithm Let Wx = σx−2 I, where regularization parameter λ = 1/σx2 . Use SVD to implement Ub Σb VbT = Wb 1/2 A, svs σ1 ≥ σ2 ≥ . . . σp and define s = Ub Wb 1/2 r: Find σx such that m− √ 2zα/2 < sT diag( 1 σi2 σx2 + 1 √ )s < m + 2zα/2 . Equivalently, find σx2 such that F (σx ) = sT diag( 1 )s − m = 0. 1 + σx2 σi2 Scalar Root Finding: Newton’s Method Renaut (ASU) Scalar Newton method November 2007 19 / 46 Single Variable Approach: Seek efficient, practical algorithm Let Wx = σx−2 I, where regularization parameter λ = 1/σx2 . Use SVD to implement Ub Σb VbT = Wb 1/2 A, svs σ1 ≥ σ2 ≥ . . . σp and define s = Ub Wb 1/2 r: Find σx such that m− √ 2zα/2 < sT diag( 1 σi2 σx2 + 1 √ )s < m + 2zα/2 . Equivalently, find σx2 such that F (σx ) = sT diag( 1 )s − m = 0. 1 + σx2 σi2 Scalar Root Finding: Newton’s Method Renaut (ASU) Scalar Newton method November 2007 19 / 46 Single Variable Approach: Seek efficient, practical algorithm Let Wx = σx−2 I, where regularization parameter λ = 1/σx2 . Use SVD to implement Ub Σb VbT = Wb 1/2 A, svs σ1 ≥ σ2 ≥ . . . σp and define s = Ub Wb 1/2 r: Find σx such that m− √ 2zα/2 < sT diag( 1 σi2 σx2 + 1 √ )s < m + 2zα/2 . Equivalently, find σx2 such that F (σx ) = sT diag( 1 )s − m = 0. 1 + σx2 σi2 Scalar Root Finding: Newton’s Method Renaut (ASU) Scalar Newton method November 2007 19 / 46 Single Variable Approach: Seek efficient, practical algorithm Let Wx = σx−2 I, where regularization parameter λ = 1/σx2 . Use SVD to implement Ub Σb VbT = Wb 1/2 A, svs σ1 ≥ σ2 ≥ . . . σp and define s = Ub Wb 1/2 r: Find σx such that m− √ 2zα/2 < sT diag( 1 σi2 σx2 + 1 √ )s < m + 2zα/2 . Equivalently, find σx2 such that F (σx ) = sT diag( 1 )s − m = 0. 1 + σx2 σi2 Scalar Root Finding: Newton’s Method Renaut (ASU) Scalar Newton method November 2007 19 / 46 Single Variable Approach: Seek efficient, practical algorithm Let Wx = σx−2 I, where regularization parameter λ = 1/σx2 . Use SVD to implement Ub Σb VbT = Wb 1/2 A, svs σ1 ≥ σ2 ≥ . . . σp and define s = Ub Wb 1/2 r: Find σx such that m− √ 2zα/2 < sT diag( 1 σi2 σx2 + 1 √ )s < m + 2zα/2 . Equivalently, find σx2 such that F (σx ) = sT diag( 1 )s − m = 0. 1 + σx2 σi2 Scalar Root Finding: Newton’s Method Renaut (ASU) Scalar Newton method November 2007 19 / 46 Extension to Generalized Tikhonov Define 2 x̂GTik = argminJD (x) = argmin{kAx − bkW + kD(x − x0 )k2Wx }, b (3) Theorem For large m, the minimium value of JD is a random variable which follows a χ2 distribution with m − n + p degrees of freedom. (Assuming that no components of r are zero) Proof. Use the Generalized Singular Value Decomposition for [Wb 1/2 A, Wx 1/2 D] Find Wx such that JD is χ2 with m − n + p d.o.f. Renaut (ASU) Scalar Newton method November 2007 20 / 46 Extension to Generalized Tikhonov Define 2 x̂GTik = argminJD (x) = argmin{kAx − bkW + kD(x − x0 )k2Wx }, b (3) Theorem For large m, the minimium value of JD is a random variable which follows a χ2 distribution with m − n + p degrees of freedom. (Assuming that no components of r are zero) Proof. Use the Generalized Singular Value Decomposition for [Wb 1/2 A, Wx 1/2 D] Find Wx such that JD is χ2 with m − n + p d.o.f. Renaut (ASU) Scalar Newton method November 2007 20 / 46 Extension to Generalized Tikhonov Define 2 x̂GTik = argminJD (x) = argmin{kAx − bkW + kD(x − x0 )k2Wx }, b (3) Theorem For large m, the minimium value of JD is a random variable which follows a χ2 distribution with m − n + p degrees of freedom. (Assuming that no components of r are zero) Proof. Use the Generalized Singular Value Decomposition for [Wb 1/2 A, Wx 1/2 D] Find Wx such that JD is χ2 with m − n + p d.o.f. Renaut (ASU) Scalar Newton method November 2007 20 / 46 Extension to Generalized Tikhonov Define 2 x̂GTik = argminJD (x) = argmin{kAx − bkW + kD(x − x0 )k2Wx }, b (3) Theorem For large m, the minimium value of JD is a random variable which follows a χ2 distribution with m − n + p degrees of freedom. (Assuming that no components of r are zero) Proof. Use the Generalized Singular Value Decomposition for [Wb 1/2 A, Wx 1/2 D] Find Wx such that JD is χ2 with m − n + p d.o.f. Renaut (ASU) Scalar Newton method November 2007 20 / 46 Newton Root Finding Wx = σx−2 Ip Let GSVD of [Wb 1/2 A, D] Υ A=U XT 0m−n×n D = V [M, 0p×n−p ]X T , γi are the generalized singular values P P 2 m̃ = m − n + p − pi=1 si2 δγi 0 − m i=n+1 si , s̃i = si /(γi2 σx2 + 1), i = 1, . . . , p ti = s̃i γi . Find root of Pp 1 2 i=1 ( γ 2 σ 2 +1 )si Solve F = 0, where + i F (σx ) = sT s̃ − m̃ Renaut (ASU) Pm 2 i=n+1 si =m and F 0 (σx ) = −2σx ktk22 . Scalar Newton method November 2007 21 / 46 Newton Root Finding Wx = σx−2 Ip Let GSVD of [Wb 1/2 A, D] Υ A=U XT 0m−n×n D = V [M, 0p×n−p ]X T , γi are the generalized singular values P P 2 m̃ = m − n + p − pi=1 si2 δγi 0 − m i=n+1 si , s̃i = si /(γi2 σx2 + 1), i = 1, . . . , p ti = s̃i γi . Find root of Pp 1 2 i=1 ( γ 2 σ 2 +1 )si Solve F = 0, where + i F (σx ) = sT s̃ − m̃ Renaut (ASU) Pm 2 i=n+1 si =m and F 0 (σx ) = −2σx ktk22 . Scalar Newton method November 2007 21 / 46 An Illustrative Example: phillips Fredholm integral equation (Hansen) Example Error 10% Add noise to b Standard deviation σbi = .01|bi | + .1bmax Covariance matrix Cb = σb2 Im = Wb −1 σb2 average of σb2i − is the original b and ∗ noisy data. Renaut (ASU) Scalar Newton method November 2007 22 / 46 An Illustrative Example: phillips Fredholm integral equation (Hansen) Comparison with new method Compare Solutions: + is reference x0 . −− is exact. L-Curve o Three other solutions: UPRE, GCV and χ2 method (blue, magenta, black) Each method gives different solution - but UPRE, GCV and χ2 are comparable. Renaut (ASU) Scalar Newton method November 2007 23 / 46 Observations: Does the Method Converge? F is monotonic decreasing, even (Left) Solution either exists and is unique for positive σ Or no solution exists F (0) < 0. (Right) Theoretically, limσ→∞ F > 0 possible. Equivalent to λ = 0. No regularization needed. Renaut (ASU) Scalar Newton method November 2007 24 / 46 Observations: Does the Method Converge? F is monotonic decreasing, even (Left) Solution either exists and is unique for positive σ Or no solution exists F (0) < 0. (Right) Theoretically, limσ→∞ F > 0 possible. Equivalent to λ = 0. No regularization needed. Renaut (ASU) Scalar Newton method November 2007 24 / 46 Observations: Does the Method Converge? F is monotonic decreasing, even (Left) Solution either exists and is unique for positive σ Or no solution exists F (0) < 0. (Right) Theoretically, limσ→∞ F > 0 possible. Equivalent to λ = 0. No regularization needed. Renaut (ASU) Scalar Newton method November 2007 24 / 46 Observations: Does the Method Converge? F is monotonic decreasing, even (Left) Solution either exists and is unique for positive σ Or no solution exists F (0) < 0. (Right) Theoretically, limσ→∞ F > 0 possible. Equivalent to λ = 0. No regularization needed. Renaut (ASU) Scalar Newton method November 2007 24 / 46 Observations: Does the Method Converge? F is monotonic decreasing, even (Left) Solution either exists and is unique for positive σ Or no solution exists F (0) < 0. (Right) Theoretically, limσ→∞ F > 0 possible. Equivalent to λ = 0. No regularization needed. Renaut (ASU) Scalar Newton method November 2007 24 / 46 Remark on F (0) < 0 Notice, when F (0) < 0, m̃ is too big relative to J. Equivalently, there are insufficient degrees of freedom. Notice J(x̂) = kP 1/2 sk22 , P = diag(1/((γi σ)2 + 1), 0n−p , Im−n ) In particular J(x̂(0)) = kP 1/2 (0)sk22 = y, for some y. If y < m̃, set m̃ = floor(y ) Theorem is revised to: m̃ = min{floor(J(0)), m − n + p}. Here m = 500, J(0) ≈ 39, F (0) ≈ −461. On right m̃ = 38. Renaut (ASU) Scalar Newton method November 2007 25 / 46 Remark on F (0) < 0 Notice, when F (0) < 0, m̃ is too big relative to J. Equivalently, there are insufficient degrees of freedom. Notice J(x̂) = kP 1/2 sk22 , P = diag(1/((γi σ)2 + 1), 0n−p , Im−n ) In particular J(x̂(0)) = kP 1/2 (0)sk22 = y, for some y. If y < m̃, set m̃ = floor(y ) Theorem is revised to: m̃ = min{floor(J(0)), m − n + p}. Here m = 500, J(0) ≈ 39, F (0) ≈ −461. On right m̃ = 38. Renaut (ASU) Scalar Newton method November 2007 25 / 46 Remark on F (0) < 0 Notice, when F (0) < 0, m̃ is too big relative to J. Equivalently, there are insufficient degrees of freedom. Notice J(x̂) = kP 1/2 sk22 , P = diag(1/((γi σ)2 + 1), 0n−p , Im−n ) In particular J(x̂(0)) = kP 1/2 (0)sk22 = y, for some y. If y < m̃, set m̃ = floor(y ) Theorem is revised to: m̃ = min{floor(J(0)), m − n + p}. Here m = 500, J(0) ≈ 39, F (0) ≈ −461. On right m̃ = 38. Renaut (ASU) Scalar Newton method November 2007 25 / 46 Remark on F (0) < 0 Notice, when F (0) < 0, m̃ is too big relative to J. Equivalently, there are insufficient degrees of freedom. Notice J(x̂) = kP 1/2 sk22 , P = diag(1/((γi σ)2 + 1), 0n−p , Im−n ) In particular J(x̂(0)) = kP 1/2 (0)sk22 = y, for some y. If y < m̃, set m̃ = floor(y ) Theorem is revised to: m̃ = min{floor(J(0)), m − n + p}. Here m = 500, J(0) ≈ 39, F (0) ≈ −461. On right m̃ = 38. Renaut (ASU) Scalar Newton method November 2007 25 / 46 Remark on F (0) < 0 Notice, when F (0) < 0, m̃ is too big relative to J. Equivalently, there are insufficient degrees of freedom. Notice J(x̂) = kP 1/2 sk22 , P = diag(1/((γi σ)2 + 1), 0n−p , Im−n ) In particular J(x̂(0)) = kP 1/2 (0)sk22 = y, for some y. If y < m̃, set m̃ = floor(y ) Theorem is revised to: m̃ = min{floor(J(0)), m − n + p}. Here m = 500, J(0) ≈ 39, F (0) ≈ −461. On right m̃ = 38. Renaut (ASU) Scalar Newton method November 2007 25 / 46 Remark on F (0) < 0 Notice, when F (0) < 0, m̃ is too big relative to J. Equivalently, there are insufficient degrees of freedom. Notice J(x̂) = kP 1/2 sk22 , P = diag(1/((γi σ)2 + 1), 0n−p , Im−n ) In particular J(x̂(0)) = kP 1/2 (0)sk22 = y, for some y. If y < m̃, set m̃ = floor(y ) Theorem is revised to: m̃ = min{floor(J(0)), m − n + p}. Here m = 500, J(0) ≈ 39, F (0) ≈ −461. On right m̃ = 38. Renaut (ASU) Scalar Newton method November 2007 25 / 46 Remark on F (0) < 0 Notice, when F (0) < 0, m̃ is too big relative to J. Equivalently, there are insufficient degrees of freedom. Notice J(x̂) = kP 1/2 sk22 , P = diag(1/((γi σ)2 + 1), 0n−p , Im−n ) In particular J(x̂(0)) = kP 1/2 (0)sk22 = y, for some y. If y < m̃, set m̃ = floor(y ) Theorem is revised to: m̃ = min{floor(J(0)), m − n + p}. Here m = 500, J(0) ≈ 39, F (0) ≈ −461. On right m̃ = 38. Renaut (ASU) Scalar Newton method November 2007 25 / 46 Example: Seismic Signal Restoration Real data set of 48 signals of length 500. The point spread function is derived from the signals Calculate the signal variance pointwise over all 48 signals. Compare restoration of S-wave with derivative orders 0, 1, 2 Weighting matrices are I, σg−2 I, and diag(σg−2 ), cases 1, 2, and 3. i Renaut (ASU) Scalar Newton method November 2007 26 / 46 Goals of the Analysis Identify seismic time arrivals accurately Determine existence of secondary structures: ScS, Scd, Sab Renaut (ASU) Scalar Newton method November 2007 27 / 46 Tikhonov Regularization Observations Reduced Degrees of Freedom Relevant! Degrees of Freedom found automatically Case 2 and 1 have different solutions Case 3 greater contrast in signal Renaut (ASU) Scalar Newton method November 2007 28 / 46 First and Second Order Derivative Restoration Observations Derivative smoothing is not desirable Case 3 preserves signal λ increases with derivative order Solution is smoother larger λ. Renaut (ASU) Scalar Newton method November 2007 29 / 46 Comparison with L-curve and UPRE Solutions Observations L-curve underestimates λ. UPRE and χ2 are comparable for DOF limited χ2 . UPRE underestimates for case 2 and 3 weighting. Renaut (ASU) Scalar Newton method November 2007 30 / 46 Conclusions χ2 Newton algorithm is cost effective - converges in 5 − 10 iterations. It performs as well ( or better) than GCV and UPRE when statistical information is available. Should be method of choice when statistical information is provided Method can be adapted to find Wb if Wx is provided. Renaut (ASU) Scalar Newton method November 2007 31 / 46 Conclusions χ2 Newton algorithm is cost effective - converges in 5 − 10 iterations. It performs as well ( or better) than GCV and UPRE when statistical information is available. Should be method of choice when statistical information is provided Method can be adapted to find Wb if Wx is provided. Renaut (ASU) Scalar Newton method November 2007 31 / 46 Conclusions χ2 Newton algorithm is cost effective - converges in 5 − 10 iterations. It performs as well ( or better) than GCV and UPRE when statistical information is available. Should be method of choice when statistical information is provided Method can be adapted to find Wb if Wx is provided. Renaut (ASU) Scalar Newton method November 2007 31 / 46 Conclusions χ2 Newton algorithm is cost effective - converges in 5 − 10 iterations. It performs as well ( or better) than GCV and UPRE when statistical information is available. Should be method of choice when statistical information is provided Method can be adapted to find Wb if Wx is provided. Renaut (ASU) Scalar Newton method November 2007 31 / 46 Future Work Analyse for truncated expansions (TSVD and TGSVD) -reduce the degrees of freedom. Further theoretical analysis and simulations with other noise distributions. Comparison new work of Rust & O’Leary 2007. Can it be extended for nonlinear regularization terms? (TV?) Development of the nonlinear least squares for general diagonal Wx . Efficient calculation of uncertainty information, covariance matrix. Nonlinear problems? Renaut (ASU) Scalar Newton method November 2007 32 / 46 Future Work Analyse for truncated expansions (TSVD and TGSVD) -reduce the degrees of freedom. Further theoretical analysis and simulations with other noise distributions. Comparison new work of Rust & O’Leary 2007. Can it be extended for nonlinear regularization terms? (TV?) Development of the nonlinear least squares for general diagonal Wx . Efficient calculation of uncertainty information, covariance matrix. Nonlinear problems? Renaut (ASU) Scalar Newton method November 2007 32 / 46 Future Work Analyse for truncated expansions (TSVD and TGSVD) -reduce the degrees of freedom. Further theoretical analysis and simulations with other noise distributions. Comparison new work of Rust & O’Leary 2007. Can it be extended for nonlinear regularization terms? (TV?) Development of the nonlinear least squares for general diagonal Wx . Efficient calculation of uncertainty information, covariance matrix. Nonlinear problems? Renaut (ASU) Scalar Newton method November 2007 32 / 46 Future Work Analyse for truncated expansions (TSVD and TGSVD) -reduce the degrees of freedom. Further theoretical analysis and simulations with other noise distributions. Comparison new work of Rust & O’Leary 2007. Can it be extended for nonlinear regularization terms? (TV?) Development of the nonlinear least squares for general diagonal Wx . Efficient calculation of uncertainty information, covariance matrix. Nonlinear problems? Renaut (ASU) Scalar Newton method November 2007 32 / 46 Future Work Analyse for truncated expansions (TSVD and TGSVD) -reduce the degrees of freedom. Further theoretical analysis and simulations with other noise distributions. Comparison new work of Rust & O’Leary 2007. Can it be extended for nonlinear regularization terms? (TV?) Development of the nonlinear least squares for general diagonal Wx . Efficient calculation of uncertainty information, covariance matrix. Nonlinear problems? Renaut (ASU) Scalar Newton method November 2007 32 / 46 Future Work Analyse for truncated expansions (TSVD and TGSVD) -reduce the degrees of freedom. Further theoretical analysis and simulations with other noise distributions. Comparison new work of Rust & O’Leary 2007. Can it be extended for nonlinear regularization terms? (TV?) Development of the nonlinear least squares for general diagonal Wx . Efficient calculation of uncertainty information, covariance matrix. Nonlinear problems? Renaut (ASU) Scalar Newton method November 2007 32 / 46 THANK YOU! Renaut (ASU) Scalar Newton method November 2007 33 / 46 Newton’s Method converges in 5 − 10 Iterations l cb 0 0 0 1 1 1 2 2 2 1 2 3 1 2 3 1 2 3 Iterations k mean std 8.23e + 00 6.64e − 01 8.31e + 00 9.80e − 01 8.06e + 00 1.06e + 00 4.92e + 00 5.10e − 01 1.00e + 01 1.16e + 00 1.00e + 01 1.19e + 00 5.01e + 00 8.90e − 01 8.29e + 00 1.48e + 00 8.38e + 00 1.50e + 00 Table: Convergence characteristics for problem phillips with n = 40 over 500 runs Renaut (ASU) Scalar Newton method November 2007 34 / 46 Newton’s Method converges in 5 − 10 Iterations l cb 0 0 0 1 1 1 2 2 2 1 2 3 1 2 3 1 2 3 Iterations k mean std 6.84e + 00 1.28e + 00 8.81e + 00 1.36e + 00 8.72e + 00 1.46e + 00 6.05e + 00 1.30e + 00 7.40e + 00 7.68e − 01 7.17e + 00 8.12e − 01 6.01e + 00 1.40e + 00 7.28e + 00 8.22e − 01 7.33e + 00 8.66e − 01 Table: Convergence characteristics for problem blur with n = 36 over 500 runs Renaut (ASU) Scalar Newton method November 2007 35 / 46 Estimating The Error and Predictive Risk l cb 0 0 1 1 2 2 2 3 2 3 2 3 χ2 mean 4.37e − 03 4.32e − 03 4.35e − 03 4.39e − 03 4.50e − 03 4.37e − 03 Error L GCV mean mean 4.39e − 03 4.21e − 03 4.42e − 03 4.21e − 03 5.17e − 03 4.30e − 03 5.05e − 03 4.38e − 03 6.68e − 03 4.39e − 03 6.66e − 03 4.43e − 03 UPRE mean 4.22e − 03 4.22e − 03 4.30e − 03 4.37e − 03 4.56e − 03 4.54e − 03 Table: Error characteristics for problem phillips with n = 60 over 500 runs with error contaminated x0 . Relative errors larger than .009 removed. Results are comparable Renaut (ASU) Scalar Newton method November 2007 36 / 46 Estimating The Error and Predictive Risk Risk l 0 0 1 1 2 2 cb χ2 2 3 2 3 2 3 mean 3.78e − 02 3.88e − 02 3.94e − 02 1.10e − 01 3.41e − 02 3.61e − 02 L mean 5.22e − 02 5.10e − 02 5.71e − 02 5.90e − 02 6.00e − 02 5.98e − 02 GCV mean 3.15e − 02 2.97e − 02 3.02e − 02 3.27e − 02 3.35e − 02 3.35e − 02 UPRE mean 2.92e − 02 2.90e − 02 2.74e − 02 2.79e − 02 3.79e − 02 3.82e − 02 Table: Error characteristics for problem phillips with n = 60 over 500 runs χ2 method does not give best estimate of risk Renaut (ASU) Scalar Newton method November 2007 37 / 46 Estimating The Error and Predictive Risk Error Histogram Normal noise on rhs, first order derivative, Cb = σ 2 I Renaut (ASU) Scalar Newton method November 2007 38 / 46 Estimating The Error and Predictive Risk Error Histogram Exponential noise on rhs, first order derivative, Cb = σ 2 I Renaut (ASU) Scalar Newton method November 2007 39 / 46 Some Solutions: with no prior information x0 Illustrated are solutions and error bars No Statistical Information Solution is Smoothed Renaut (ASU) With statistical information Cb = diag(σb2i ) Scalar Newton method November 2007 40 / 46 Some Generalized Tikhonov Solutions: First Order Derivative No Statistical Information Renaut (ASU) Scalar Newton method Cb = diag(σb2i ) November 2007 41 / 46 Some Generalized Tikhonov Solutions: Prior x0 : Solution not smoothed No Statistical Information Renaut (ASU) Scalar Newton method Cb = diag(σb2i ) November 2007 42 / 46 Some Generalized Tikhonov Solutions: x0 = 0: Exponential noise No Statistical Information Renaut (ASU) Scalar Newton method Cb = diag(σb2i ) November 2007 43 / 46 Relationship to Discrepancy Principle The discrepancy principle can be implemented by a Newton method. Finds σx such that the regularized residual satisfies σb2 = 1 kb − Ax(σ)k22 . m (4) Consistent with our notation p X i=1 ( 1 γi2 σ 2 + 1 m X )2 si2 + si2 = m, (5) i=n+1 Weight in the first sum is squared here, otherwise functional is the same. But discrepancy principle often oversmooths. What happens here? Renaut (ASU) Scalar Newton method November 2007 44 / 46 Major References Bennett A, 2005 Inverse Modeling of the Ocean and Atmosphere (Cambridge University Press) Hansen, P. C., 1994, Regularization Tools: A Matlab Package for Analysis and Solution of Discrete Ill-posed Problems, Numerical Algorithms 6 1-35. Mead J., 2007, A priori weighting for parameter estimation, J. Inv. Ill-posed Problems, to appear. Rao, C. R., 1973, Linear Statistical Inference and its applications, Wiley, New York. Tarantola A 2005 Inverse Problem Theory and Methods for Model Parameter Estimation (SIAM). Vogel, C. R., 2002. Computational Methods for Inverse Problems, (SIAM), Frontiers in Applied Mathematics. Renaut (ASU) Scalar Newton method November 2007 45 / 46 blur Atmospheric (Gaussian PSF) (Hansen): Again with noise Solution on Left and Degraded on the Right Solutions using x0 = 0, Generalized Tikhonov Second Derivative 5% noise Renaut (ASU) Scalar Newton method November 2007 46 / 46 blur Atmospheric (Gaussian PSF) (Hansen): Again with noise Solution on Left and Degraded on the Right Solutions using x0 = 0, Generalized Tikhonov Second Derivative 5% noise Renaut (ASU) Scalar Newton method November 2007 46 / 46 blur Atmospheric (Gaussian PSF) (Hansen): Again with noise Solution on Left and Degraded on the Right Solutions using x0 = 0, Generalized Tikhonov Second Derivative 5% noise Renaut (ASU) Scalar Newton method November 2007 46 / 46
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