Tikhonov-Phillips regularization

Phillips–Tikhonov regularization

2020 Mathematics Subject Classification: Primary: 47A52 Secondary: 47J0665F22 [MSN][ZBL] $ \newcommand{\norm}[1]{\left\| #1 \right\|} \newcommand{\order}[1]{o\bigl(#1\bigr)} \newcommand{\Order}[1]{O\bigl(#1\bigr)} $

Fredholm integral equations of the first kind (cf. also Fredholm equation), $$ \int_a^b k(s,t) f(t) \rd t = g(s), $$ present special challenges to working scientists (cf. also Fredholm equation, numerical methods). 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). 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) or, more generally, from the decay to zero of the singular values of the kernel.

The basic existence and uniqueness theory for Fredholm equations of the first kind with square-integrable kernels was worked out by E. Picard [Pi] in the early 1900s. Toward the 1950s, iterative approximation methods for Fredholm equations of the first kind were developed (see, e.g., [Fr], [La]), 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., [Do], [Mc]). 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 [Ph] and A.N. Tikhonov [Ti].

The analysis of the method of regularization is best carried out in the context of a Hilbert space, where the integral operator is modeled by a 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 $$ F_\alpha(f;g) = \norm{Kf - g}_{H_2}^2 + \alpha \norm{f}_{H_1}^2, $$ where $\alpha > 0$ is a regularization parameter. The minimizer $f_\alpha$ of this functional is the solution of the well-posed second-kind equation $$ K^*Kf_\alpha + \alpha f_\alpha = K^*g $$ (cf. also 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.

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 $\norm{g-g^\delta}_{H_2} \leq \delta$, 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 $\delta = \order{\alpha(\delta)}$, then $\norm{f_{\alpha(\delta)}^\delta - f}_{H_1} \rightarrow 0$ 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 $\norm{f_{\alpha(\delta)}^\delta - f}_{H_1} = \Order{\delta^{2/3}}$, and this order is best possible (see [Gr, p. 41]).

V.A. Morozov [Mo] introduced an a posteriori parameter choice strategy (already used informally by D.L. Phillips [Ph]) called the discrepancy principle. According to this principle, there is a unique $\alpha(\delta)$ satisfying $\norm{Kf_{\alpha(\delta)}^\delta - g^\delta}_{H_2} = \delta$ and $\norm{f_{\alpha(\delta)}^\delta - f}_{H_1} \rightarrow 0$ as $\delta \rightarrow 0$. Furthermore, if $f$ is in the range of $K^*$, then $\norm{f_{\alpha(\delta)}^\delta - f}_{H_1} = \Order{\sqrt{\delta}}$, but this order is best possible [Gr, p. 50]. Discrepancy principles that attain the optimal order $\Order{\delta^{2/3}}$ have been devised by T. Raus, H. Gfrerer and H. Engl (see [EnHaNe]). The $\Order{\delta^{2/3}}$ 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 $$ F_n(x;g^\delta) = \norm{Kx - g^\delta}_{H_2}^2 + \alpha_n \norm{x_{n-1} - x}_{H_1}^2, $$ where $x_{n-1}$ is the minimizer of $F_{n-1}(\,\cdot\,;g^\delta)$ and $\{\alpha_n\}$ is a suitable sequence of regularization parameters. Under appropriate conditions, this method attains an order of approximation $\Order{\delta^p}$ for any $p \in [0,1)$ (see [HaGr]).

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; 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 [Ha].

In Tikhonov's original work, the regularizing norm $\norm{\cdot}_{H_1}$ was taken to be a Sobolev norm (see Sobolev space) and the data norm $\norm{\cdot}_{H_2}$ was the $L^2$-norm. Therefore, the Euler equation characterizing the regularized approximation is an integro-differential equation and the convergence of the approximations is uniform. Phillips, however, used a regularizing semi-norm (the $L^2$-norm of the second derivative) and hence the Phillips method requires a more detailed analysis than Tikhonov's method (see [Lo], [Mo2]).

References

[Do]	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
[EnHaNe]	H.W. Engl, M. Hanke, A. Neubauer, "Regularization of inverse problems", Kluwer Acad. Publ. (1996)
[Fr]	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)
[Gr]	C.W. Groetsch, "The theory of Tikhonov regularization for Fredholm equations of the first kind", Pitman (1984)
[Ha]	P.C. Hansen, "Rank-deficient and discrete ill-posed problems", SIAM (Soc. Industrial Applied Math.) (1998)
[HaGr]	M. Hanke, C.W. Groetsch, "Nonstationary iterated Tikhonov regularization" J. Optim. Th. Appl., 98 (1998) pp. 37–53
[La]	L. Landweber, "An iteration formula for Fredholm integral equations of the first kind" Amer. J. Math., 73 (1951) pp. 615–624
[Lo]	A.K. Louis, "Inverse und schlecht gestellte Probleme", Teubner (1989)
[Mc]	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)
[Mo]	V.A. Morozov, "On the solution of functional equations by the method of regularization" Soviet Math. Dokl., 7 (1966) pp. 414–417
[Mo2]	V.A. Morozov, "Regularization methods for ill-posed problems", CRC (1993)
[Ph]	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
[Pi]	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
[Ti]	A.N. Tikhonov, "Solution of incorrectly formulated problems and the regularization method" Soviet Math. Dokl., 4 (1963) pp. 1035–1038