Adaptive minimax optimality in statistical inverse problems via SOLIT—Sharp Optimal Lepskiĭ-Inspired Tuning

Author:

Li HousenORCID,Werner FrankORCID

Abstract

Abstract We consider statistical linear inverse problems in separable Hilbert spaces and filter-based reconstruction methods of the form f ˆ α = q α T T T Y , where Y is the available data, T the forward operator, q α α A an ordered filter, and α > 0 a regularization parameter. Whenever such a method is used in practice, α has to be appropriately chosen. Typically, the aim is to find or at least approximate the best possible α in the sense that mean squared error (MSE) E [ f ˆ α f 2 ] w.r.t. the true solution f is minimized. In this paper, we introduce the Sharp Optimal Lepskiĭ-Inspired Tuning (SOLIT) method, which yields an a posteriori parameter choice rule ensuring adaptive minimax rates of convergence. It depends only on Y and the noise level σ as well as the operator T and the filter q α α A and does not require any problem-dependent tuning of further parameters. We prove an oracle inequality for the corresponding MSE in a general setting and derive the rates of convergence in different scenarios. By a careful analysis we show that no other a posteriori parameter choice rule can yield a better performance in terms of the order of the convergence rate of the MSE. In particular, our results reveal that the typical understanding of Lepskiĭ-type methods in inverse problems leading to a loss of a log factor is wrong. In addition, the empirical performance of SOLIT is examined in simulations.

Funder

Deutsche Forschungsgemeinschaft

Publisher

IOP Publishing

Subject

Applied Mathematics,Computer Science Applications,Mathematical Physics,Signal Processing,Theoretical Computer Science

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