Regularization independent of the noise level: an analysis of quasi-optimality
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Publication:3537465
DOI10.1088/0266-5611/24/5/055009zbMATH Open1147.49024arXiv0710.1045OpenAlexW3099383717MaRDI QIDQ3537465FDOQ3537465
Authors:
Publication date: 6 November 2008
Published in: Inverse Problems (Search for Journal in Brave)
Abstract: The quasi-optimality criterion chooses the regularization parameter in inverse problems without taking into account the noise level. This rule works remarkably well in practice, although Bakushinskii has shown that there are always counterexamples with very poor performance. We propose an average case analysis of quasi-optimality for spectral cut-off estimators and we prove that the quasi-optimality criterion determines estimators which are rate-optimal {em on average}. Its practical performance is illustrated with a calibration problem from mathematical finance.
Full work available at URL: https://arxiv.org/abs/0710.1045
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