||It has been suggested that Bayesian linear regression be merged into this article. (Discuss) Proposed since November 2012.|
Tikhonov regularization, named for Andrey Tikhonov, is the most commonly used method of regularization of ill-posed problems. In statistics, the method is known as ridge regression, and, with multiple independent discoveries, it is also variously known as the Tikhonov–Miller method, the Phillips–Twomey method, the constrained linear inversion method, and the method of linear regularization. It is related to the Levenberg–Marquardt algorithm for non-linear least-squares problems.
When the following problem is not well posed (either because of non-existence or non-uniqueness of )
where is the Euclidean norm. This may be due to the system being overdetermined or underdetermined ( may be ill-conditioned or singular). In the latter case this is no better than the original problem. In order to give preference to a particular solution with desirable properties, the regularization term is included in this minimization:
for some suitably chosen Tikhonov matrix, . In many cases, this matrix is chosen as the identity matrix , giving preference to solutions with smaller norms. In other cases, lowpass 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 direct numerical solution. An explicit solution, denoted by , is given by:
The effect of regularization may be varied via the scale of matrix . For this reduces to the unregularized least squares solution provided that (ATA)−1 exists.
Tikhonov regularization has been invented independently in many different contexts. It became widely known from its application to integral equations from the work of Tikhonov and David L. Phillips. Some authors use the term Tikhonov–Phillips regularization. The finite dimensional case was expounded by Arthur E. Hoerl, who took a statistical approach, and by Manus Foster, who interpreted this method as a Wiener–Kolmogorov filter. Following Hoerl, it is known in the statistical literature as ridge regression.
Generalized Tikhonov regularization
For general multivariate normal distributions for and the data error, one can apply a transformation of the variables to reduce to the case above. Equivalently, one can seek an to minimize
where we have used to stand for the weighted norm (compare with the Mahalanobis distance). In the Bayesian interpretation is the inverse covariance matrix of , is the expected value of , and is the inverse covariance matrix of . The Tikhonov matrix is then given as a factorization of the matrix (e.g. the Cholesky factorization), and is considered a whitening filter.
This generalized problem has an optimal solution which can be solved explicitly using the formula
Regularization in Hilbert space
Typically discrete linear ill-conditioned problems result from discretization of integral equations, and one can formulate a Tikhonov regularization in the original infinite dimensional context. In the above we can interpret as a compact operator on Hilbert spaces, and and as elements in the domain and range of . The operator is then a self-adjoint bounded invertible operator.
Relation to probabilistic formulation
The probabilistic formulation of an inverse problem introduces (when all uncertainties are Gaussian) a covariance matrix representing the a priori uncertainties on the model parameters, and a covariance matrix representing the uncertainties on the observed parameters (see, for instance, Tarantola, 2005 ). 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 .
Although at first the choice of the solution to this regularized problem may look artificial, and indeed the matrix 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, the prior probability distribution of is sometimes taken to be a multivariate normal distribution. For simplicity here, the following assumptions are made: the means are zero; their components are independent; the components have the same standard deviation . The data are also subject to errors, and the errors in are also assumed to be independent with zero mean and standard deviation . Under these assumptions the Tikhonov-regularized solution is the most probable solution given the data and the a priori distribution of , according to Bayes' theorem.
If the assumption of normality is replaced by assumptions of homoskedasticity and uncorrelatedness of errors, and if one still assumes zero mean, then the Gauss–Markov theorem entails that the solution is the minimal unbiased estimate.
- LASSO estimator is another regularization method in statistics.
||This article includes a list of references, but its sources remain unclear because it has insufficient inline citations. (April 2012)|
- Tikhonov, Andrey Nikolayevich (1943). "Об устойчивости обратных задач" [On the stability of inverse problems]. Doklady Akademii Nauk SSSR 39 (5): 195–198.
- Tikhonov, 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.
- Tikhonov, A. N.; V. Y. Arsenin (1977). Solution of Ill-posed Problems. Washington: Winston & Sons. ISBN 0-470-99124-0.
- Tikhonov A.N., Goncharsky A.V., Stepanov V.V., Yagola A.G., 1995, Numerical Methods for the Solution of Ill-Posed Problems, Kluwer Academic Publishers.
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- 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, 1958, 54–59.
- Hoerl, A.E.; R.W. Kennard (1970). "Ridge regression: Biased estimation for nonorthogonal problems". Technometrics 12 (1): 55–67. JSTOR 1271436.
- Foster, M. (1961). "An Application of the Wiener-Kolmogorov Smoothing Theory to Matrix Inversion". Journal of the Society for Industrial and Applied Mathematics 9 (3): 387. doi:10.1137/0109031.
- Phillips, D. L. (1962). "A Technique for the Numerical Solution of Certain Integral Equations of the First Kind". Journal of the ACM 9: 84. doi:10.1145/321105.321114.
- Press, WH; Teukolsky, SA; Vetterling, WT; Flannery, BP (2007). "Section 19.5. Linear Regularization Methods". Numerical Recipes: The Art of Scientific Computing (3rd ed.). New York: Cambridge University Press. ISBN 978-0-521-88068-8.
- Tarantola A, 2005, 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