Unbiased predictive risk estimation of the Tikhonov regularization parameter: convergence with increasing rank approximations of the singular value decomposition

• Published in: BIT Vol. 59; no. 4; pp. 1031 - 1061
• Main Authors: Renaut, Rosemary A., Helmstetter, Anthony W., Vatankhah, Saeed
• Format: Journal Article
• Language: English
• Published: Dordrecht Springer Netherlands 01.12.2019; Springer Nature B.V
• Subjects: Algorithms; Computational Mathematics and Numerical Analysis; Computer simulation; Convergence; Decomposition; Ill posed problems; Lower bounds; Mathematics; Mathematics and Statistics; Noise; Noise levels; Numeric Computing; Parameter estimation; Regularization; Risk; Singular value decomposition; Two dimensional analysis; Inverse problems; 65F10; Unbiased predictive risk estimation; Tikhonov regularization; Regularization parameter
• ISSN: 0006-3835; 1572-9125
• DOI: 10.1007/s10543-019-00762-7

The truncated singular value decomposition may be used to find the solution of linear discrete ill-posed problems in conjunction with Tikhonov regularization and requires the estimation of a regularization parameter that balances between the sizes of the fit to data function and the regularization term. The unbiased predictive risk estimator is one suggested method for finding the regularization parameter when the noise in the measurements is normally distributed with known variance. In this paper we provide an algorithm using the unbiased predictive risk estimator that automatically finds both the regularization parameter and the number of terms to use from the singular value decomposition. Underlying the algorithm is a new result that proves that the regularization parameter converges with the number of terms from the singular value decomposition. For the analysis it is sufficient to assume that the discrete Picard condition is satisfied for exact data and that noise completely contaminates the measured data coefficients for a sufficiently large number of terms, dependent on both the noise level and the degree of ill-posedness of the system. A lower bound for the regularization parameter is provided leading to a computationally efficient algorithm. Supporting results are compared with those obtained using the method of generalized cross validation. Simulations for two-dimensional examples verify the theoretical analysis and the effectiveness of the algorithm for increasing noise levels, and demonstrate that the relative reconstruction errors obtained using the truncated singular value decomposition are less than those obtained using the singular value decomposition.