Pivoted Cauchy-like Preconditioners for Regularized Solution of Ill-Posed Problems
Kilmer, Misha E.
O'Leary, Dianne P.
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Many ill-posed problems are solved using a discretization that results in a least squares problem or a linear system involving a Toeplitz matrix. The exact solution to such problems is often hopelessly contaminated by noise, since the discretized problemis quite ill-conditioned, and noise components in the approximate null-space dominate the solution vector. Therefore we seek an approximate solution that does not have large components in these directions. We use a preconditioned conjugate gradient algorithm to compute such a regularized solution. An orthogonal change of coordinates transforms the Toeplitz matrix to a Cauchy-like matrix, and we choose our preconditioner to be a low rank Cauchy-like matrix determined in the course of Gu's fast modified complete pivoting algorithm. We show that if the kernel of the ill-posed problem is smooth, then this preconditioner has desirable properties: the largest singular values of the preconditioned matrix are clustered around one, the smallest singular values, corresponding to the noise subspace, remain small, and the signal and noise spaces are relatively unmixed. The preconditioned algorithm costs only $O(n \lg n)$ operations per iteration for a problem with $n$ variables. The effectiveness of the preconditioner for filtering noise is demonstrated on three examples. (Also cross-referenced as UMIACS-TR-96-63)