Generalized Cross-Validation for Simultaneous Optimization of Tuning Parameters in Ridge Regression

Author(s):  
M. Roozbeh ◽  
M. Arashi ◽  
N. A. Hamzah
1992 ◽  
Vol 14 (4) ◽  
pp. 283-287 ◽  
Author(s):  
Chong Gu ◽  
Nancy Heckman ◽  
Grace Wahba

Geophysics ◽  
2018 ◽  
Vol 83 (6) ◽  
pp. V345-V357 ◽  
Author(s):  
Nasser Kazemi

Given the noise-corrupted seismic recordings, blind deconvolution simultaneously solves for the reflectivity series and the wavelet. Blind deconvolution can be formulated as a fully perturbed linear regression model and solved by the total least-squares (TLS) algorithm. However, this algorithm performs poorly when the data matrix is a structured matrix and ill-conditioned. In blind deconvolution, the data matrix has a Toeplitz structure and is ill-conditioned. Accordingly, we develop a fully automatic single-channel blind-deconvolution algorithm to improve the performance of the TLS method. The proposed algorithm, called Toeplitz-structured sparse TLS, has no assumptions about the phase of the wavelet. However, it assumes that the reflectivity series is sparse. In addition, to reduce the model space and the number of unknowns, the algorithm benefits from the structural constraints on the data matrix. Our algorithm is an alternating minimization method and uses a generalized cross validation function to define the optimum regularization parameter automatically. Because the generalized cross validation function does not require any prior information about the noise level of the data, our approach is suitable for real-world applications. We validate the proposed technique using synthetic examples. In noise-free data, we achieve a near-optimal recovery of the wavelet and the reflectivity series. For noise-corrupted data with a moderate signal-to-noise ratio (S/N), we found that the algorithm successfully accounts for the noise in its model, resulting in a satisfactory performance. However, the results deteriorate as the S/N and the sparsity level of the data are decreased. We also successfully apply the algorithm to real data. The real-data examples come from 2D and 3D data sets of the Teapot Dome seismic survey.


Author(s):  
Wahyu Kurniasari, Dadan Kusnandar, Evy Sulistianingsih

Regresi spline merupakan suatu pendekatan ke arah pencocokan data dengan tetap memperhitungkan kemulusan kurva. Salah satu bentuk estimator dari regresi spline ialah penalized spline. Tujuan dari penelitian ini adalah untuk mengestimasi parameter regresi spline dengan metode penalized spline untuk data yang tidak memiliki pola tertentu. Data penelitian ini menggunakan data sekunder yang diperoleh dari Badan Pusat Statistik Indonesia pada tahun 2015 yaitu indeks pembangunan manusia, gini rasio, harapan lama sekolah, penduduk miskin, dan kepadatan penduduk. Hasil regresi spline yang diperoleh untuk model terbaik yaitu model spline linier pada setiap variabel dengan nilai Generalized Cross Validation (GCV) minimum. Hasil penelitian menunjukkan bahwa regresi spline dengan metode penalized spline menghasilkan estimasi parameter yang signifikan dan memperoleh nilai koefisien determinasi terkoreksi  sebesar 76,66% serta nilai MAPE untuk model regresi spline sebesar 1,415%. Kata Kunci: regresi nonparametrik, regresi spline, penalized spline.


2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Mingzhu Tang ◽  
Xiangwan Fu ◽  
Huawei Wu ◽  
Qi Huang ◽  
Qi Zhao

Traffic flow anomaly detection is helpful to improve the efficiency and reliability of detecting fault behavior and the overall effectiveness of the traffic operation. The data detected by the traffic flow sensor contains a lot of noise due to equipment failure, environmental interference, and other factors. In the case of large traffic flow data noises, a traffic flow anomaly detection method based on robust ridge regression with particle swarm optimization (PSO) algorithm is proposed. Feature sets containing historical characteristics with a strong linear correlation and statistical characteristics using the optimal sliding window are constructed. Then by providing the feature sets inputs to the PSO-Huber-Ridge model and the model outputs the traffic flow. The Huber loss function is recommended to reduce noise interference in the traffic flow. The L2 regular term of the ridge regression is employed to reduce the degree of overfitting of the model training. A fitness function is constructed, which can balance the relative size between the k-fold cross-validation root mean square error and the k-fold cross-validation average absolute error with the control parameter η to improve the optimization efficiency of the optimization algorithm and the generalization ability of the proposed model. The hyperparameters of the robust ridge regression forecast model are optimized by the PSO algorithm to obtain the optimal hyperparameters. The traffic flow data set is used to train and validate the proposed model. Compared with other optimization methods, the proposed model has the lowest RMSE, MAE, and MAPE. Finally, the traffic flow that forecasted by the proposed model is used to perform anomaly detection. The abnormality of the error between the forecasted value and the actual value is detected by the abnormal traffic flow threshold based on the sliding window. The experimental results verify the validity of the proposed anomaly detection model.


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