Regularization and the general Gauss-Markov linear model
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- by Hong Yuan Zha and Per Christian Hansen PDF
- Math. Comp. 55 (1990), 613-624 Request permission
Abstract:
If the coefficient matrix in the general Gauss-Markov linear model is ill-conditioned, then the solution is very sensitive to perturbations. For such problems, we propose to add Tikhonov regularization to the model, and we show that this actually stabilizes the solution and decreases its variance. We also give a numerically stable algorithm for computing the regularized solution efficiently.References
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Additional Information
- © Copyright 1990 American Mathematical Society
- Journal: Math. Comp. 55 (1990), 613-624
- MSC: Primary 65F20; Secondary 15A06, 65F30
- DOI: https://doi.org/10.1090/S0025-5718-1990-1035946-9
- MathSciNet review: 1035946