A weighted-GCV method for Lanczos-hybrid regularization

Chung, Julianne ; Nagy, James G. ; O'Leary, Dianne P.

Electronic transactions on numerical analysis, Tome 28 (2008).

Résumé

Summary: Lanczos-hybrid regularization methods have been proposed as effective approaches for solving largescale ill-posed inverse problems. Lanczos methods restrict the solution to lie in a Krylov subspace, but they are hindered by semi-convergence behavior, in that the quality of the solution first increases and then decreases. Hybrid methods apply a standard regularization technique, such as Tikhonov regularization, to the projected problem at each iteration. Thus, regularization in hybrid methods is achieved both by Krylov filtering and by appropriate choice of a regularization parameter at each iteration. In this paper we describe a weighted generalized cross validation (W- GCV) method for choosing the parameter. Using this method we demonstrate that the semi-convergence behavior of the Lanczos method can be overcome, making the solution less sensitive to the number of iterations.

Détail

Classification : 65F20, 65F30
Keywords: generalized cross validation, ill-posed problems, iterative methods, Lanczos bidiagonalization, LSQR, regularization, Tikhonov