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Parameter Estimation and Inverse Problems: Richard C. Aster, Brian Borchers, and Clifford H. Thurber

This document provides an overview of the book "Parameter Estimation and Inverse Problems" which covers topics related to estimating unknown parameters and solving inverse problems. The book introduces classification of inverse problems, examples of parameter estimation and inverse problems, and reasons why inverse problems are difficult. It then covers linear regression, discretization of continuous inverse problems, rank deficiency and ill-conditioning, Tikhonov regularization, iterative methods, additional regularization techniques, Fourier techniques, nonlinear regression, nonlinear inverse problems, and Bayesian methods.

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259 views6 pages

Parameter Estimation and Inverse Problems: Richard C. Aster, Brian Borchers, and Clifford H. Thurber

This document provides an overview of the book "Parameter Estimation and Inverse Problems" which covers topics related to estimating unknown parameters and solving inverse problems. The book introduces classification of inverse problems, examples of parameter estimation and inverse problems, and reasons why inverse problems are difficult. It then covers linear regression, discretization of continuous inverse problems, rank deficiency and ill-conditioning, Tikhonov regularization, iterative methods, additional regularization techniques, Fourier techniques, nonlinear regression, nonlinear inverse problems, and Bayesian methods.

Uploaded by

neha
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Parameter Estimation

and Inverse Problems

Richard C. Aster, Brian Borchers, and Clifford H. Thurber

Amsterdam " Boston " Heidelberg " London " New York " Oxford
Paris " San Diego " San Francisco " Singapore " Sydney " Tokyo
Contents

Preface xi

1 INTRODUCTION I
1 .1 Classification of Inverse Problems 1
1,2 Examples of Parameter Estimation Problems 4
1 .3 Examples of Inverse Problems 7
1.4 Why Inverse Problems Are Hard 11
1 .5 Exercises 14
1 .6 Notes and Further Reading 14

2 LINEAR REGRESSION 15
2.1 Introduction to Linear Regression 15
2.2 Statistical Aspects of Least Squares 17
2.3 Unknown Measurement Standard Deviations 26
2.4 Lt Regression 30
2.5 Monte Carlo Error Propagation 35
2.6 Exercises 36
2.7 Notes and Further Reading 40

3 DISCRETIZING CONTINUOUS INVERSE


PROBLEMS 41
3 .1 Integral Equations 41
3 .2 Quadrature Methods 41
3.3 Expansion in Terms of Representers 46

3 .4 Expansion in Terms of Orthonormal Basis Functions 47


3.5 The Method of Backus and Gilbert 48
3 .6 Exercises 52
3 .7 Notes and Further Reading 54

4 RANK DEFICIENCY AND ILL-CONDITIONING 55


4.1 The SVD and the Generalized inverse 55
4.2 Covariance and Resolution of the Generalized Inverse Solution 62
4.3 Instability of the Generalized Inverse Solution 64
4.4 An Example of a Rank-Deficient Problem 67
4.5 Discrete 111-Posed Problems 73
4 .6 Exercises 85
4,7 Notes and Further Reading 87

5 TIKHONOV REGULARIZATION 89
5 .1 Selecting a Good Solution 89
5 .2 SVD Implementation of Tikhonov Regularization 91
5.3 Resolution, Bias, and Uncertainty in the Tikhonov Solution 95
5.4 Higher-Order Tikhonov Regularization 98
5.5 Resolution in Higher-Order Tikhonov Regularization 103
5.6 The TGSVD Method 105
5.7 Generalized Cross Validation 106
5 .8 Error Bounds 109
5.9 Exercises 114
5.10 Notes and Further Reading 117

6 ITERATIVE METHODS 119


6.1 Introduction 119
6.2 Iterative Methods for Tomography Problems 120
6.3 The Conjugate Gradient Method 126
6.4 The CGLS Method 131
Contents

6.5 Exercises 135


6.6 Notes and Further Reading 136

7 ADDITIONALREGULARIZATIONTECHNIQUES 139
7.1 Using Bounds as Constraints 139
7 .2 Maximum Entropy Regularization 143
7 .3 Total Variation 146

7 .4 Exercises 151
7 .5 Notes and Further Reading 152

8 FOURIER TECHNIQUES 153


8 .1 Linear Systems in the Time and Frequency Domains 153

8.2 Deconvolution from a Fourier Perspective 158


8 .3 Linear Systems in Discrete Time 161

8 .4 Water Level Regularization 164

8.5 Exercises 168


8 .6 Notes and Further Reading 170

9 NONLINEAR REGRESSION 171


9.1 Newton's Method 171

9.2 The Gauss-Newton and LevenbergMarquardt Methods 174

9.3 Statistical Aspects 177

9.4 Implementation Issues 181

9.5 Exercises 186

9.6 Notes and Further Reading 189

10 NONLINEAR INVERSE PROBLEMS 191


10.1 Regularizing Nonlinear Least Squares Problems 191

10.2 occam's Inversion 195

10.3 Exercises 199

10.4 Notes and Further Reading 199


viii Contents

11 BAYESIAN METHODS 201


11 .1 Review of the Classical Approach 201

11 .2 The Bayesian Approach 202


11 .3 The Multivariate Normal Case 207
11 .4 Maximum Entropy Methods 212
11.5 Epilogue 214
11.6 Exercises 216
11 .7 Notes and Further Reading 217

A REVIEW OF LINEAR ALGEBRA 219


A.1 Systems of Linear Equations 219
A.2 Matrix and Vector Algebra 222
A.3 Linear Independence 228
A.4 Subspaces of Rn 229
A.5 Orthogonality and the Dot Product 233
A.6 Eigenvalues and Eigenvectors 237
A.7 Vector and Matrix Norms 240
A.8 The Condition Number of a Linear System. 242
A.9 The QR. Factorization 244
A.10 Linear Algebra in Spaces of Functions 245
A.11 Exercises 247
A.12 Notes and Further Reading 249

B REVIEW OF PROBABILITY AND STATISTICS 251


B.1 Probability and Random Variables 251
B.2 Expected Value and Variance 257
B.3 Joint Distributions 258
B.4 Conditional Probability 262
B.5 The Multivariate Normal Distribution 264
B.6 The Central Limit Theorem 265
B.7 Testing for Normality 265
B .8 Estimating Means and Confidence Intervals 267
B .9 Hypothesis Tests 269
B .10 Exercises 271
13 .11 Notes and Further Reading 272

C REVIEW OF VECTOR CALCULUS 273


C.1 The Gradient, Hessian, and Jacobian 273

C.2 Taylor's Theorem 275


C.3 Lagrange Multipliers 276
C.4 Exercises 278
C.5 Notes and Further Reading 280

D GLOSSARY OF NOTATION 281


Bibliography 283
Index 291

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