Determination of The Tikhonov Factor
The optimal regularization parameter is usually unknown and often in practical problems is determined by an ad hoc method. A possible approach relies on the Bayesian interpretation described above. Other approaches include the discrepancy principle, cross-validation, L-curve method, restricted maximum likelihood and unbiased predictive risk estimator. Grace Wahba proved that the optimal parameter, in the sense of leave-one-out cross-validation minimizes:
where is the residual sum of squares and is the effective number of degrees of freedom.
Using the previous SVD decomposition, we can simplify the above expression:
and
Read more about this topic: Tikhonov Regularization
Famous quotes containing the word factor:
“You factor in racism as a reality and you keep moving.”
—Jewell Jackson McCabe (b. 1945)