摘要翻译:
拟最优准则在不考虑噪声水平的情况下选择反问题中的正则化参数。这条规则在实践中非常有效,尽管Bakushinskii已经表明,总是有性能非常差的反例。我们提出了谱截止估计的拟最优性的平均情形分析,证明了拟最优性准则决定了估计量是速率最优的{em on平均}。用数学金融学中的一个标定问题说明了它的实际性能。
---
英文标题:
《Regularization independent of the noise level: an analysis of
quasi-optimality》
---
作者:
Frank Bauer, Markus Reiss
---
最新提交年份:
2007
---
分类信息:
一级分类:Mathematics 数学
二级分类:Numerical Analysis 数值分析
分类描述:Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法,科学计算
--
一级分类:Mathematics 数学
二级分类:Statistics Theory 统计理论
分类描述:Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计:例如统计推断、回归、时间序列、多元分析、
数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
--
一级分类:Statistics 统计学
二级分类:Statistics Theory 统计理论
分类描述:stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近,贝叶斯推论,决策理论,估计,基础,推论,检验。
--
---
英文摘要:
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.
---
PDF链接:
https://arxiv.org/pdf/710.1045