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Re: [Help-gsl] Tikhonov regularization for nonlinear least squares probl

From: Patrick Alken
Subject: Re: [Help-gsl] Tikhonov regularization for nonlinear least squares problem
Date: Mon, 7 Mar 2016 10:47:24 -0700
User-agent: Mozilla/5.0 (X11; Linux x86_64; rv:38.0) Gecko/20100101 Thunderbird/38.6.0

In the linear case, if you have the SVD of your matrix available, computing the L-curve is simple and straightforward.

In the nonlinear case, there is no way (that I know of) to easily compute the L-curve, other than re-solving the nonlinear problem many times for different lambdas. So in this case its up to the user to determine how to select lambda. You can of course generate an L-curve by plotting the residual norm against the solution norm for different lambdas.


On 03/07/2016 10:30 AM, viktor drobot wrote:
Hi all! I wonder why linear squares fit module has routines for determining
the optimal value of lambda which is used in Tikhonov regularization (i. e.
by L-corner approach) while nonlinear module has no such routines? How do
you find the optimal lambda value? Thank you!

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