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# Tikhonov吉洪诺夫正则化

Tikhonov regularization

Tikhonov regularization is the most commonly used method of regularization of ill-posed problems named for Andrey Tychonoff. In statistics, the method is also known as ridge regression. It is related to the Levenberg-Marquardt algorithm for non-linear least-squares problems. The standard approach to solve an underdetermined system of linear equations given as

Ax = b,
is known as linear least squares and seeks to minimize the residual

Ax ? b

2

where ? is the Euclidean norm. However, the matrix A may be ill-conditioned or singular yielding a non-unique solution. In order to give preference to a particular solution with desirable properties, the regularization term is included in this minimization:

Ax ? b + Γx
2

2

for some suitably chosen Tikhonov matrix, Γ . In many cases, this matrix is chosen as the identity matrix Γ = I, giving preference to solutions with smaller norms. In other cases, highpass operators (e.g., a difference operator or a weighted Fourier operator) may be used to enforce smoothness if the underlying vector is believed to be mostly continuous. This regularization improves the conditioning of the problem, thus enabling a numerical solution. An explicit solution, denoted by , is given by:

? x = A A+Γ Γ
T T

(

)

?1

AT b

The effect of regularization may be varied via the scale of matrix Γ . For Γ

=

αI, when α = 0 this reduces to the unregularized least squares solution provided
that (ATA)?1 exists.

Contents
? ? ? ? ? ? ? ?

1 Bayesian interpretation 2 Generalized Tikhonov regularization 3 Regularization in Hilbert space 4 Relation to singular value decomposition and Wiener filter 5 Determination of the Tikhonov factor 6 Relation to probabilistic formulation 7 History 8 References

Bayesian interpretation
Although at first the choice of the solution to this regularized problem may look artificial, and indeed the matrix Γ seems rather arbitrary, the process can be justified from a Bayesian point of view. Note that for an ill-posed problem one must necessarily introduce some additional assumptions in order to get a stable solution. Statistically we might assume that a priori we know that x is a random variable with a multivariate normal distribution. For simplicity we take the mean to be zero and assume that each component is independent with standard deviation σx. Our data is also subject to errors, and we take the errors in b to be also independent with zero mean and standard deviation σb. Under these assumptions the Tikhonov-regularized solution is the most probable solution given the data and the a priori distribution of x, according to Bayes' theorem. The Tikhonov matrix is then Γ = αI for Tikhonov factor α = σb / σx. If the assumption of normality is replaced by assumptions of homoskedasticity and uncorrelatedness of errors, and still assume zero mean, then the Gauss-Markov theorem entails that the solution is minimal unbiased estimate.

Generalized Tikhonov regularization
For general multivariate normal distributions for x and the data error, one can apply a transformation of the variables to reduce to the case above. Equivalently, one can seek an x to minimize

Ax ? b P + x ? x0
2
2

2 Q

where we have used x P to stand for the weighted norm xTPx (cf. the Mahalanobis distance). In the Bayesian interpretation P is the inverse covariance matrix of b, x0 is the expected value of x, and Q is the inverse covariance matrix of x. The Tikhonov matrix is then given as a factorization of the matrix Q = Γ T Γ (e.g. the cholesky factorization), and is considered a whitening filter. This generalized problem can be solved explicitly using the formula

x 0 + AT PA + Q

(

)

?1

AT P (b ? Ax 0 )

 Regularization in Hilbert space
Typically discrete linear ill-conditioned problems result as discretization of integral equations, and one can formulate Tikhonov regularization in the original infinite dimensional context. In the above we can interpret A as a compact operator on Hilbert spaces, and x and b as elements in the domain and range of

A. The operator

A* A + Γ T Γ is then a self-adjoint bounded invertible operator.

Relation to singular value decomposition and Wiener filter
With Γ

= αI, this least squares solution can be analyzed in a special way via

the singular value decomposition. Given the singular value decomposition of A

A = UΣV T
with singular values σi, the Tikhonov regularized solution can be expressed as

? x = VDU T b
where D has diagonal values

Dii =

σ i2 + α 2

σi

and is zero elsewhere. This demonstrates the effect of the Tikhonov parameter on the condition number of the regularized problem. For the generalized case a similar representation can be derived using a generalized singular value decomposition. Finally, it is related to the Wiener filter:
q

? x = ∑ fi
i =1

u iT b

σi

vi
σ i2 and q is the rank of A. σ i2 + α 2

where the Wiener weights are f i =

Determination of the Tikhonov factor

The optimal regularization parameter α 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:

G=

τ2

=

[Tr (I ? X (X

? Xβ ? y
T

2

X +α I
2

)

?1

X

T

)]

2

where of freedom.

is the residual sum of squares and τ is the effective number degree

Using the previous SVD decomposition, we can simplify the above expression:
q

RSS = y ? ∑ u i' b u i
i =1

( )
q

2

+

q

∑σ
i =1

α
2 i

2

+α 2
2

(u b)u
' i

2 i

α2 (ui' b)ui RSS = RSS 0 + ∑ 2 2 i =1 σ i + α
and

q σ i2 α2 = m?q+∑ 2 τ = m?∑ 2 2 σi +α 2 i =1 i =1 σ i + α q

Relation to probabilistic formulation
The probabilistic formulation of an inverse problem introduces (when all uncertainties are Gaussian) a covariance matrix CM representing the a priori uncertainties on the model parameters, and a covariance matrix CD representing the uncertainties on the observed parameters (see, for instance, Tarantola, 2004

[1]). In the special case when these two matrices are diagonal and isotropic, and , and, in this case, the equations of inverse theory

reduce to the equations above, with α = σD / σM.

History
Tikhonov regularization has been invented independently in many different contexts. It became widely known from its application to integral equations from the work of A. N. Tikhonov and D. L. Phillips. Some authors use the term Tikhonov-Phillips regularization. The finite dimensional case was expounded by A. E. Hoerl, who took a statistical approach, and by M. Foster, who interpreted this method as a Wiener-Kolmogorov filter. Following Hoerl, it is known in the statistical literature as ridge regression.

 References
?

?

? ? ? ? ? ? ?

Tychonoff, Andrey Nikolayevich (1943). "Об устойчивости обратных задач [On the stability of inverse problems]". Doklady Akademii Nauk SSSR 39 (5): 195–198. Tychonoff, A. N. (1963). "О решении некорректно поставленных задач и методе регуляризации [Solution of incorrectly formulated problems and the regularization method]". Doklady Akademii Nauk SSSR 151: 501–504.. Translated in Soviet Mathematics 4: 1035–1038. Tychonoff, A. N.; V. Y. Arsenin (1977). Solution of Ill-posed Problems. Washington: Winston & Sons. ISBN 0-470-99124-0. Hansen, P.C., 1998, Rank-deficient and Discrete ill-posed problems, SIAM Hoerl AE, 1962, Application of ridge analysis to regression problems, Chemical Engineering Progress, 58, 54-59. Foster M, 1961, An application of the Wiener-Kolmogorov smoothing theory to matrix inversion, J. SIAM, 9, 387-392 Phillips DL, 1962, A technique for the numerical solution of certain integral equations of the first kind, J Assoc Comput Mach, 9, 84-97 Tarantola A, 2004, Inverse Problem Theory (free PDF version), Society for Industrial and Applied Mathematics, ISBN 0-89871-572-5 Wahba, G, 1990, Spline Models for Observational Data, Society for Industrial and Applied Mathematics

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