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| − | ''Phillips–Tikhonov regularization''
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| − | | + | * Modified the norm subscripts to mention the space, $\left\|\cdot\right\|_1$ becomes $\left\|\cdot\right\|_{H_1}$, so as not cause confusion with the $L_p$ norms. |
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| − | $ | + | --[[User:Jjg|Jjg]] 18:00, 25 April 2012 (CEST) |
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| − | Fredholm integral equations of the first kind (cf. also [[Fredholm equation|Fredholm equation]]),
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| − | $$
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| − | \int_a^b k(s,t) f(t) \rd t = g(s),
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| − | $$
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| − | present special challenges to working scientists (cf. also [[Fredholm equation, numerical methods|Fredholm equation, numerical methods]]; [[Fredholm equation|Fredholm equation]]). Unlike equations of the second kind, for which the existence of a unique stable solution can be guaranteed under mild conditions, integral equations of the first kind are typically ill-posed (cf. also [[Ill-posed problems|Ill-posed problems]]). The blame for this misbehaviour lies with the kernel $k(\cdot,\cdot)$. The data function $g$ inherits some of the structure and smoothness of the kernel and hence, if the kernel is highly structured or very smooth, then a solution exists only for functions $g$ belonging to a quite exclusive class of data. Furthermore, null functions for the kernel may be plentiful, so when solutions exist, they are seldom unique. But the most troubling aspect of the first-kind equation is its instability: perturbations in $g$ which are very small (with respect to reasonable metrics on the data space) may arise from very large changes in $f$. This instability is a consequence of the Riemann–Lebesgue lemma (cf. [[Fourier series|Fourier series]]) or, more generally, from the decay to zero of the singular values of the kernel.
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| − | The basic existence and uniqueness theory for Fredholm equations of the first kind with square-integrable kernels was worked out by E. Picard [[#References|[a13]]] in the early 1900s. Toward the 1950s, iterative approximation methods for Fredholm equations of the first kind were developed (see, e.g., [[#References|[a3]]],[[#References|[a7]]]), but soon thereafter it became apparent that when these methods are applied to practical problems, the approximations are cursed by the instability noted above (see, e.g.,[[#References|[a1]]], [[#References|[a9]]]). This led to the development, in the early 1960s, of a non-iterative stabilized approximation technique, now called the method of regularization, by D.L. Phillips [[#References|[a12]]] and A.N. Tikhonov [[#References|[a14]]].
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| − | The analysis of the method of regularization is best carried out in the context of a [[Hilbert space|Hilbert space]], where the integral operator is modeled by a [[Compact operator|compact operator]] $K:H_1 \rightarrow H_2$ from a Hilbert space $H_1$ into a Hilbert space $H_2$. The norm of $H_2$ should be sufficiently weak to accommodate realistic data functions, while that of $H_1$ should be strong enough to impose desirable structure on the solution. In the method of regularization a "damped least-squares" approximate solution of $Kf=g$ is sought by minimizing the functional
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| − | $$
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| − | F_\alpha(f;g) = \norm{Kf - g}_2^2 + \alpha \norm{f}_1^2,
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| − | $$
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| − | where $\alpha > 0$ is a regularization parameter. The minimizer $f_\alpha$ of this functional is the solution of the well-posed second-kind equation
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| − | $$
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| − | K^*Kf_\alpha + \alpha f_\alpha = K^*g
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| − | $$
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| − | (cf. also [[Integral equation|Integral equation]]) and hence is unique and stable with respect to perturbations of the data function $g$. The regularization parameter may be viewed as an arbiter between fidelity and stability in the approximate solution; a choice of $\alpha$ that is too small causes the approximate solution to inherit some of the instability of the original ill-posed problem, while too large a choice tends to over-smooth the approximate solution with consequent loss of information.
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| − | A key point in practical problems is that the data function is the result of observations and hence is subject to error. The data function in hand is then an observation $g^\delta$ satisfying $\norm{g-g^\delta}_2 \leq \delta$, where $\delta$ is a bound for the observational error. One then takes the minimizer $f_\alpha^\delta$ of the functional $F_\alpha(\,\cdot\,;g^\delta)$ as an approximate solution. If $\alpha = \alpha(\delta)$ is chosen so that $\delta = o\left(\sqrt{\alpha(\delta)}\right)$, then $\norm{f_{\alpha(\delta)}^\delta - f}_1 \rightarrow 0$ as $\delta \rightarrow 0$, where $f$ is the minimal-norm least-squares solution of $Kf = g$ (cf. also [[Least squares, method of]]). If $f$ is in the range of $K^*K$ and $\alpha(\delta) = C\delta^{2/3}$, then $\norm{f_{\alpha(\delta)}^\delta - f}_1 = O(\delta^{2/3})$, and this order is best possible (see [[#References|[a4]]], p. 41).
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| − | V.A. Morozov [[#References|[a10]]] introduced an ''a posteriori'' parameter choice strategy (already used informally by D.L. Phillips [[#References|[a12]]]) called the discrepancy principle. According to this principle, there is a unique $\alpha(\delta)$ satisfying $\norm{Kf_{\alpha(\delta)}^\delta - g^\delta}_2 = \delta$ and $\norm{f_{\alpha(\delta)}^\delta - f}_1 \rightarrow 0$ as $\delta \rightarrow 0$. Furthermore, if $_$ is in the range of $_$, then $_$, but this order is best possible [[#References|[a4]]], p. 50. Discrepancy principles that attain the optimal order $_$ have been devised by T. Raus, H. Gfrerer and H. Engl (see [[#References|[a2]]]). The $_$ brick wall for ordinary Tikhonov regularization can be scaled by using an iterated version of the regularization method. Iterated Tikhonov regularization consists of sequentially minimizing the functionals
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| − | <table class="eq" style="width:100%;"> <tr><td valign="top" style="width:94%;text-align:center;">$_$</td> </tr></table>
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| − | where $_$ is the minimizer of $_$ and $_$ is a suitable sequence of regularization parameters. Under appropriate conditions, this method attains an order of approximation $_$ for any $_$ (see[[#References|[a5]]]).
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| − | The computational implementation of the method of regularization requires a discretization procedure to produce a finite-dimensional problem. The interpretation of the method as a variational technique suggests finite-element methods, while its interpretation as an integral equation of the second kind suggests quadrature or degenerate-kernel methods (cf. also [[Degenerate kernel|Degenerate kernel]]; [[Quadrature|Quadrature]]). In any case, a successful computational experience relies on a delicate balancing of regularization norm, regularization parameter, discretization parameters, and characteristics of the data error. For more on discretized ill-posed problems, see [[#References|[a6]]].
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| − | In Tikhonov's original work, the regularizing norm $_$ was taken to be a Sobolev norm and the data norm $_$ was the $_$-norm. Therefore, the Euler equation characterizing the regularized approximation is an[[Integro-differential equation|integro-differential equation]] and the convergence of the approximations is uniform. Phillips, however, used a regularizing [[Semi-norm|semi-norm]] (the $_$-norm of the second derivative) and hence the Phillips method requires a more detailed analysis than Tikhonov's method (see [[#References|[a8]]],[[#References|[a11]]]).
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| − | ====References=.== <table><TR><TD valign="top">[a1]</TD> <TD valign="top"> J. Douglas Jr., "Mathematical programming and integral equations" , ''Symp. Numerical Treatment of Ordinary Differential Equations, Integral and Integro-differential Equations (Rome, 1960)'' , Birkhäuser (1960) pp. 269–274</TD></TR><TR><TD valign="top">[a2]</TD> <TD valign="top"> H.W. Engl, M. Hanke, A. Neubauer, "Regularization of inverse problems" , Kluwer Acad. Publ. (1996)</TD></TR><TR><TD valign="top">[a3]</TD> <TD valign="top"> V.M. Fridman, "Method of successive approximations for Fredholm integral equations of the first kind" ''Uspekhi Mat. Nauk'' , '''11''' (1956) pp. 233–234 (In Russian)</TD></TR><TR><TD valign="top">[a4]</TD> <TD valign="top"> C.W. Groetsch, "The theory of Tikhonov regularization for Fredholm equations of the first kind" , Pitman (1984)</TD></TR><TR><TD valign="top">[a5]</TD> <TD valign="top"> M. Hanke, C.W. Groetsch, "Nonstationary iterated Tikhonov regularization" ''J. Optim. Th. Appl.'' , '''98''' (1998) pp. 37–53</TD></TR><TR><TD valign="top">[a6]</TD> <TD valign="top"> P.C. Hansen, "Rank-deficient and discrete ill-posed problems" , SIAM (Soc. Industrial Applied Math.) (1998)</TD></TR><TR><TD valign="top">[a7]</TD> <TD valign="top"> L. Landweber, "An iteration formula for Fredholm integral equations of the first kind" ''Amer. J. Math.'' , '''73''' (1951) pp. 615–624</TD></TR><TR><TD valign="top">[a8]</TD> <TD valign="top"> A.K. Louis, "Inverse und schlecht gestellte Probleme" , Teubner (1989)</TD></TR><TR><TD valign="top">[a9]</TD> <TD valign="top"> R.W. McKelvey, "An analysis of approximative methods for Fredholm's integral equation of the first kind" ''Techn. Rep. David Taylor Model Basin, U.S. Navy Dep., Washington, D.C.'' , '''19''' (1956)</TD></TR><TR><TD valign="top">[a10]</TD> <TD valign="top"> V.A. Morozov, "On the solution of functional equations by the method of regularization" '
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| − | 'Soviet Math. Dokl.'' , '''7''' (1966) pp. 414–417</TD></TR><TR><TD valign="top">[a11]</TD> <TD valign="top"> V.A. Morozov, "Regularization methods for ill-posed problems" , CRC (1993)</TD></TR><TR><TD valign="top">[a12]</TD> <TD valign="top"> D.L. Phillips, "A technique for the numerical solution of certain integral equations of the first kind" ''J. Assoc. Comput. Mach.'' , '''9''' (1962) pp. 84–97</TD></TR><TR><TD valign="top">[a13]</TD> <TD valign="top"> E. Picard, "Sur un théorème générale relatif aux équations intégrales de première espèce et sur quelques problèmes de physique mathématique" ''Rend. Circ. Mat. Palermo'' , '''29''' (1910) pp. 79–97</TD></TR><TR><TD valign="top">[a14]</TD> <TD valign="top"> A.N. Tikhonov, "Solution of incorrectly formulated problems and the regularization method" ''Soviet Math. Dokl.'' , '''4''' (1963) pp. 1035–1038</TD></TR></table>
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