Instances of computational optimal recovery: dealing with observation errors

DOI10.1137/20M1328476MaRDI QIDQ5158927zbMATH OpenOpenAlexFDO

Authors Mahmood Ettehad, Simon Foucart

Publication date 26 October 2021

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.00192

zbMATH Keywords

approximability modelsChebyshev centersconvex optimizationoptimal recovery

Mathematics Subject Classification ID

Abstract approximation theory (approximation in normed linear spaces and other abstract spaces) (41A65) Numerical methods involving duality (49M29) Numerical mathematical programming methods (65K05) Semidefinite programming (90C22) Minimax problems in mathematical programming (90C47)

Abstract: When attempting to recover functions from observational data, one naturally seeks to do so in an optimal manner with respect to some modeling assumption. With a focus put on the worst-case setting, this is the standard goal of Optimal Recovery. The distinctive twists here are the consideration of inaccurate data through some boundedness models and the emphasis on computational realizability. Several scenarios are unraveled through the efficient constructions of optimal recovery maps: local optimality under linearly or semidefinitely describable models, global optimality for the estimation of linear functionals under approximability models, and global near-optimality under approximability models in the space of continuous functions.

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Cited in

(7)

• Instances of computational optimal recovery: refined approximability models
• Learning from non-random data in Hilbert spaces: an optimal recovery perspective
• Computing a quantity of interest from observational data
• Optimal recovery from inaccurate data in Hilbert spaces: regularize, but what of the parameter?
• Impact of physical model error on state estimation for neutronics applications
• Radius of information for two intersected centered hyperellipsoids and implications in optimal recovery from inaccurate data
• Inverse problems: a deterministic approach using physics-based reduced models

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Uses Software

• Basc

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