where σ = minimum eigen value of AAτ. For a = 0.05, will be 591.13. It is
clearly far from the optimal regularization factor, λopt (Figure 4.5).
Tb understand the behavior of the best λ, we study optimal point curves of
й the problem. For each λ ∈ [λo,∞), let xχ be the solution of the problem in
¥
Equation 4.13. Define
s(ʌ) = lkλ∣∣ι
t(λ) = ∣∣Arλ - b∣∣2. (4.15)
(s(λ),i(λ)) defines a curve in s-t plane. A number of these curves are shown in
Figure 4.6. These curves are for different noise levels. The points that are shown
by star on each curve represent the optimal regularization factor, (s(λopt), s(λopt));
we call these point optimal points. It suggests that the optimal points are approx-
imately on a horizontal line. Thus, we use following optimization formulation to
estimate the variation.
min ∣∣Ar — 6∣∣2
such that ∣∣τ∣∣ι ≤ c
(4.16)
where c is a constant number. We assume c = 0-E(∣∣τ∣∣ι); where θ ∈ [1.5,2].
54
More intriguing information
1. WP 48 - Population ageing in the Netherlands: Demographic and financial arguments for a balanced approach2. HEDONIC PRICES IN THE MALTING BARLEY MARKET
3. XML PUBLISHING SOLUTIONS FOR A COMPANY
4. Can we design a market for competitive health insurance? CHERE Discussion Paper No 53
5. Putting Globalization and Concentration in the Agri-food Sector into Context
6. Towards Teaching a Robot to Count Objects
7. Optimal Rent Extraction in Pre-Industrial England and France – Default Risk and Monitoring Costs
8. The geography of collaborative knowledge production: entropy techniques and results for the European Union
9. O funcionalismo de Sellars: uma pesquisa histδrica
10. A COMPARATIVE STUDY OF ALTERNATIVE ECONOMETRIC PACKAGES: AN APPLICATION TO ITALIAN DEPOSIT INTEREST RATES