Best subset selection via cross-validation criterion

Top ◽  
2020 ◽  
Vol 28 (2) ◽  
pp. 475-488 ◽  
Author(s):  
Yuichi Takano ◽  
Ryuhei Miyashiro
2018 ◽  
Vol 66 (9) ◽  
pp. 704-713 ◽  
Author(s):  
Tobias Münker ◽  
Timm J. Peter ◽  
Oliver Nelles

Abstract The problem of modeling a linear dynamic system is discussed and a novel approach to automatically combine black-box and white-box models is introduced. The solution proposed in this contribution is based on the usage of regularized finite-impulse-response (FIR) models. In contrast to classical gray-box modelling, which often only optimizes the parameters of a given model structure, our approach is able to handle the problem of undermodeling as well. Therefore, the amount of trust in the white-box or gray-box model is optimized based on a generalized cross-validation criterion. The feasibility of the approach is demonstrated with a pendulum example. It is furthermore investigated, which level of prior knowledge is best suited for the identification of the process.


2011 ◽  
Vol 39 (1) ◽  
pp. 116-130 ◽  
Author(s):  
HIROKAZU YANAGIHARA ◽  
HIRONORI FUJISAWA

Geophysics ◽  
2003 ◽  
Vol 68 (1) ◽  
pp. 386-399 ◽  
Author(s):  
Daniel Trad ◽  
Tadeusz Ulrych ◽  
Mauricio Sacchi

The Radon transform (RT) suffers from the typical problems of loss of resolution and aliasing that arise as a consequence of incomplete information, including limited aperture and discretization. Sparseness in the Radon domain is a valid and useful criterion for supplying this missing information, equivalent somehow to assuming smooth amplitude variation in the transition between known and unknown (missing) data. Applying this constraint while honoring the data can become a serious challenge for routine seismic processing because of the very limited processing time available, in general, per common midpoint. To develop methods that are robust, easy to use and flexible to adapt to different problems we have to pay attention to a variety of algorithms, operator design, and estimation of the hyperparameters that are responsible for the regularization of the solution. In this paper, we discuss fast implementations for several varieties of RT in the time and frequency domains. An iterative conjugate gradient algorithm with fast Fourier transform multiplication is used in all cases. To preserve the important property of iterative subspace methods of regularizing the solution by the number of iterations, the model weights are incorporated into the operators. This turns out to be of particular importance, and it can be understood in terms of the singular vectors of the weighted transform. The iterative algorithm is stopped according to a general cross validation criterion for subspaces. We apply this idea to several known implementations and compare results in order to better understand differences between, and merits of, these algorithms.


1997 ◽  
Vol 42 (23) ◽  
pp. 1956-1959 ◽  
Author(s):  
Yang Ying

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