A covariance-adaptive approach for regularized inversion in linear models

Details A covariance-adaptive approach for regularized inversion in linear models A covariance-adaptive approach for regularized inversion in linear models

Nov 2007

adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=2007geoji.171..509k&link_type=abstract

Geophysical Journal International, Volume 171, Issue 3, pp. 509-522.

Astronomy and Astrophysics

Astronomy

5

Biased Estimation, Covariance Constraint, Decorrelation, Discrete Inverse Problem, Regularization

Scientific paper

The optimal inversion of a linear model under the presence of additive random noise in the input data is a typical problem in many geodetic and geophysical applications. Various methods have been developed and applied for the solution of this problem, ranging from the classic principle of least-squares (LS) estimation to other more complex inversion techniques such as the Tikhonov-Philips regularization, truncated singular value decomposition, generalized ridge regression, numerical iterative methods (Landweber, conjugate gradient) and others. In this paper, a new type of optimal parameter estimator for the inversion of a linear model is presented. The proposed methodology is based on a linear transformation of the classic LS estimator and it satisfies two basic criteria. First, it provides a solution for the model parameters that is optimally fitted (in an average quadratic sense) to the classic LS parameter solution. Second, it complies with an external user-dependent constraint that specifies a priori the error covariance (CV) matrix of the estimated model parameters. The formulation of this constrained estimator offers a unified framework for the description of many regularization techniques that are systematically used in geodetic inverse problems, particularly for those methods that correspond to an eigenvalue filtering of the ill-conditioned normal matrix in the underlying linear model. Our study lies on the fact that it adds an alternative perspective on the statistical properties and the regularization mechanism of many inversion techniques commonly used in geodesy and geophysics, by interpreting them as a family of `CV-adaptive' parameter estimators that obey a common optimal criterion and differ only on the pre-selected form of their error CV matrix under a fixed model design.

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