Early stopping for statistical inverse problems via truncated SVD estimation ∗

Abstract

We consider truncated SVD (or spectral cut-off, projection) estimators for a prototypical statistical inverse problem in dimension D. Since calculating the singular value decomposition (SVD) only for the largest singular values is much less costly than the full SVD, our aim is to select a data-driven truncation level m̂ ∈ {1, . . . , D} only based on the… (More)

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