Regularized Linear Inversion with Randomized Singular Value Decomposition
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Publication:5117954
DOI10.1007/978-3-030-48634-1_5zbMATH Open1451.65043arXiv1909.01947OpenAlexW3167796844MaRDI QIDQ5117954FDOQ5117954
Publication date: 26 August 2020
Published in: Mathematical and Numerical Approaches for Multi-Wave Inverse Problems (Search for Journal in Brave)
Abstract: In this work, we develop efficient solvers for linear inverse problems based on randomized singular value decomposition (RSVD). This is achieved by combining RSVD with classical regularization methods, e.g., truncated singular value decomposition, Tikhonov regularization, and general Tikhonov regularization with a smoothness penalty. One distinct feature of the proposed approach is that it explicitly preserves the structure of the regularized solution in the sense that it always lies in the range of a certain adjoint operator. We provide error estimates between the approximation and the exact solution under canonical source condition, and interpret the approach in the lens of convex duality. Extensive numerical experiments are provided to illustrate the efficiency and accuracy of the approach.
Full work available at URL: https://arxiv.org/abs/1909.01947
Numerical solutions to overdetermined systems, pseudoinverses (65F20) Ill-posedness and regularization problems in numerical linear algebra (65F22)
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