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Minimax entropy solutions of ill-posed problems. (English) Zbl 1210.47101

Summary: Convergent methodology for ill-posed problems is typically equivalent to application of an operator dependent on a single parameter derived from the noise level and the data (a regularization parameter or terminal iteration number). In the context of a given problem discretized for purposes of numerical analysis, these methods can be viewed as resulting from imposed prior constraints bearing the same amount of information content. We identify a new convergent method for the treatment of certain multivariate ill-posed problems, which imposes constraints of a much lower information content (i.e., having much lower bias), based on the operator’s dependence on many data-derived parameters. The associated marked performance improvements that are possible are illustrated with solution estimates for a Lyapunov equation structured by an ill-conditioned matrix. The methodology can be understood in terms of a Minimax Entropy Principle, which emerges from the Maximum Entropy Principle in some multivariate settings.

MSC:

47N40 Applications of operator theory in numerical analysis
47A52 Linear operators and ill-posed problems, regularization
45Q05 Inverse problems for integral equations
65J20 Numerical solutions of ill-posed problems in abstract spaces; regularization
34A55 Inverse problems involving ordinary differential equations

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