Continuous Tikhonov Regularization for Deconvolution
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I am trying to solve the following deconvolution problem where $g(s)$ is a known real valued function and has finite energy:
$$g(s) = int_{-infty}^{infty} frac{1}{sqrt{2pi}}f(t)e^{-(t-s)^2/2}dt$$
Since the integral kernel is a difference kernel the solution is available via convolution theorem.
$$f(t) = F^{-1}left[frac{F[g](w)}{e^{-w^2/2}}right]$$
where $F$ denotes the fourier transform.
Now on top of this I would like to impose finite energy condition on $f$, so I wrote the following regularized error minimization
$$hat{f}=text{argmin}_f left(int_{-infty}^{infty}[g(s) - int_{-infty}^{infty} frac{1}{sqrt{2pi}}f(t)e^{-(t-s)^2/2}dt]^2 ds+ alphaint_{-infty}^{infty} |f(t)|^2dtright)$$
I would like to show that:
$$hat{f}(t) = F^{-1}left[frac{F[g](w)}{e^{-w^2/2}+alpha}right]$$
or something in the line of this.
fourier-transform convolution regularization
add a comment |
up vote
4
down vote
favorite
I am trying to solve the following deconvolution problem where $g(s)$ is a known real valued function and has finite energy:
$$g(s) = int_{-infty}^{infty} frac{1}{sqrt{2pi}}f(t)e^{-(t-s)^2/2}dt$$
Since the integral kernel is a difference kernel the solution is available via convolution theorem.
$$f(t) = F^{-1}left[frac{F[g](w)}{e^{-w^2/2}}right]$$
where $F$ denotes the fourier transform.
Now on top of this I would like to impose finite energy condition on $f$, so I wrote the following regularized error minimization
$$hat{f}=text{argmin}_f left(int_{-infty}^{infty}[g(s) - int_{-infty}^{infty} frac{1}{sqrt{2pi}}f(t)e^{-(t-s)^2/2}dt]^2 ds+ alphaint_{-infty}^{infty} |f(t)|^2dtright)$$
I would like to show that:
$$hat{f}(t) = F^{-1}left[frac{F[g](w)}{e^{-w^2/2}+alpha}right]$$
or something in the line of this.
fourier-transform convolution regularization
add a comment |
up vote
4
down vote
favorite
up vote
4
down vote
favorite
I am trying to solve the following deconvolution problem where $g(s)$ is a known real valued function and has finite energy:
$$g(s) = int_{-infty}^{infty} frac{1}{sqrt{2pi}}f(t)e^{-(t-s)^2/2}dt$$
Since the integral kernel is a difference kernel the solution is available via convolution theorem.
$$f(t) = F^{-1}left[frac{F[g](w)}{e^{-w^2/2}}right]$$
where $F$ denotes the fourier transform.
Now on top of this I would like to impose finite energy condition on $f$, so I wrote the following regularized error minimization
$$hat{f}=text{argmin}_f left(int_{-infty}^{infty}[g(s) - int_{-infty}^{infty} frac{1}{sqrt{2pi}}f(t)e^{-(t-s)^2/2}dt]^2 ds+ alphaint_{-infty}^{infty} |f(t)|^2dtright)$$
I would like to show that:
$$hat{f}(t) = F^{-1}left[frac{F[g](w)}{e^{-w^2/2}+alpha}right]$$
or something in the line of this.
fourier-transform convolution regularization
I am trying to solve the following deconvolution problem where $g(s)$ is a known real valued function and has finite energy:
$$g(s) = int_{-infty}^{infty} frac{1}{sqrt{2pi}}f(t)e^{-(t-s)^2/2}dt$$
Since the integral kernel is a difference kernel the solution is available via convolution theorem.
$$f(t) = F^{-1}left[frac{F[g](w)}{e^{-w^2/2}}right]$$
where $F$ denotes the fourier transform.
Now on top of this I would like to impose finite energy condition on $f$, so I wrote the following regularized error minimization
$$hat{f}=text{argmin}_f left(int_{-infty}^{infty}[g(s) - int_{-infty}^{infty} frac{1}{sqrt{2pi}}f(t)e^{-(t-s)^2/2}dt]^2 ds+ alphaint_{-infty}^{infty} |f(t)|^2dtright)$$
I would like to show that:
$$hat{f}(t) = F^{-1}left[frac{F[g](w)}{e^{-w^2/2}+alpha}right]$$
or something in the line of this.
fourier-transform convolution regularization
fourier-transform convolution regularization
edited Nov 15 at 13:09
mathreadler
14.6k72160
14.6k72160
asked Nov 15 at 10:07
Cowboy Trader
8712
8712
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1 Answer
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Yes, this is broadly correct and the main step that you need is that the Fourier transformation is an isometry so $int_{-infty}^infty |f(t)|^2 , dt = int_{-infty}^infty |F(omega)|^2 , domega $ (up to a factor of $2pi$). So, Fourier transform the problem and you can write the objective in Fourier space. The result then follows straightaway.
Just doing a Fourier transformation right away without regularization is not very advisable in presence of noise.
– mathreadler
Nov 15 at 13:09
That's not what I'm saying. Write the objective function (of the regularised problem) in Fourier space, and solve for $F(omega)$. In fact, a glance at the answer shows you that $F(omega)=G(omega)/[e^{-omega^2/2} + a]$.
– Richard Martin
Nov 15 at 13:21
I think the answer is probably going to look like $F[K]G(w)/(F[K]F[K] + alpha)$ where F[K] is the fourier of kernel, which resembles more the typical tikhonov regularized least squares formula.
– Cowboy Trader
Nov 15 at 13:23
@CowboyTrader No this is not good way to do it. You need more freedom for regularization and adding more information to avoid underdetermination.
– mathreadler
Nov 15 at 13:25
Effectively all you're doing is this. You don't want to divide by $e^{-omega^2/2}$ because it comes too close to zero (when $|omega|$ large). But if you add a constant on to the denominator, then it becomes bounded away from zero. Job done. The same with any situation where you need to "divide" by a matrix $M$ whose eigenvalues might get close to zero: replace the matrix with $M+epsilon I$.
– Richard Martin
Nov 15 at 13:46
|
show 1 more comment
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
up vote
2
down vote
Yes, this is broadly correct and the main step that you need is that the Fourier transformation is an isometry so $int_{-infty}^infty |f(t)|^2 , dt = int_{-infty}^infty |F(omega)|^2 , domega $ (up to a factor of $2pi$). So, Fourier transform the problem and you can write the objective in Fourier space. The result then follows straightaway.
Just doing a Fourier transformation right away without regularization is not very advisable in presence of noise.
– mathreadler
Nov 15 at 13:09
That's not what I'm saying. Write the objective function (of the regularised problem) in Fourier space, and solve for $F(omega)$. In fact, a glance at the answer shows you that $F(omega)=G(omega)/[e^{-omega^2/2} + a]$.
– Richard Martin
Nov 15 at 13:21
I think the answer is probably going to look like $F[K]G(w)/(F[K]F[K] + alpha)$ where F[K] is the fourier of kernel, which resembles more the typical tikhonov regularized least squares formula.
– Cowboy Trader
Nov 15 at 13:23
@CowboyTrader No this is not good way to do it. You need more freedom for regularization and adding more information to avoid underdetermination.
– mathreadler
Nov 15 at 13:25
Effectively all you're doing is this. You don't want to divide by $e^{-omega^2/2}$ because it comes too close to zero (when $|omega|$ large). But if you add a constant on to the denominator, then it becomes bounded away from zero. Job done. The same with any situation where you need to "divide" by a matrix $M$ whose eigenvalues might get close to zero: replace the matrix with $M+epsilon I$.
– Richard Martin
Nov 15 at 13:46
|
show 1 more comment
up vote
2
down vote
Yes, this is broadly correct and the main step that you need is that the Fourier transformation is an isometry so $int_{-infty}^infty |f(t)|^2 , dt = int_{-infty}^infty |F(omega)|^2 , domega $ (up to a factor of $2pi$). So, Fourier transform the problem and you can write the objective in Fourier space. The result then follows straightaway.
Just doing a Fourier transformation right away without regularization is not very advisable in presence of noise.
– mathreadler
Nov 15 at 13:09
That's not what I'm saying. Write the objective function (of the regularised problem) in Fourier space, and solve for $F(omega)$. In fact, a glance at the answer shows you that $F(omega)=G(omega)/[e^{-omega^2/2} + a]$.
– Richard Martin
Nov 15 at 13:21
I think the answer is probably going to look like $F[K]G(w)/(F[K]F[K] + alpha)$ where F[K] is the fourier of kernel, which resembles more the typical tikhonov regularized least squares formula.
– Cowboy Trader
Nov 15 at 13:23
@CowboyTrader No this is not good way to do it. You need more freedom for regularization and adding more information to avoid underdetermination.
– mathreadler
Nov 15 at 13:25
Effectively all you're doing is this. You don't want to divide by $e^{-omega^2/2}$ because it comes too close to zero (when $|omega|$ large). But if you add a constant on to the denominator, then it becomes bounded away from zero. Job done. The same with any situation where you need to "divide" by a matrix $M$ whose eigenvalues might get close to zero: replace the matrix with $M+epsilon I$.
– Richard Martin
Nov 15 at 13:46
|
show 1 more comment
up vote
2
down vote
up vote
2
down vote
Yes, this is broadly correct and the main step that you need is that the Fourier transformation is an isometry so $int_{-infty}^infty |f(t)|^2 , dt = int_{-infty}^infty |F(omega)|^2 , domega $ (up to a factor of $2pi$). So, Fourier transform the problem and you can write the objective in Fourier space. The result then follows straightaway.
Yes, this is broadly correct and the main step that you need is that the Fourier transformation is an isometry so $int_{-infty}^infty |f(t)|^2 , dt = int_{-infty}^infty |F(omega)|^2 , domega $ (up to a factor of $2pi$). So, Fourier transform the problem and you can write the objective in Fourier space. The result then follows straightaway.
answered Nov 15 at 10:29
Richard Martin
1,6148
1,6148
Just doing a Fourier transformation right away without regularization is not very advisable in presence of noise.
– mathreadler
Nov 15 at 13:09
That's not what I'm saying. Write the objective function (of the regularised problem) in Fourier space, and solve for $F(omega)$. In fact, a glance at the answer shows you that $F(omega)=G(omega)/[e^{-omega^2/2} + a]$.
– Richard Martin
Nov 15 at 13:21
I think the answer is probably going to look like $F[K]G(w)/(F[K]F[K] + alpha)$ where F[K] is the fourier of kernel, which resembles more the typical tikhonov regularized least squares formula.
– Cowboy Trader
Nov 15 at 13:23
@CowboyTrader No this is not good way to do it. You need more freedom for regularization and adding more information to avoid underdetermination.
– mathreadler
Nov 15 at 13:25
Effectively all you're doing is this. You don't want to divide by $e^{-omega^2/2}$ because it comes too close to zero (when $|omega|$ large). But if you add a constant on to the denominator, then it becomes bounded away from zero. Job done. The same with any situation where you need to "divide" by a matrix $M$ whose eigenvalues might get close to zero: replace the matrix with $M+epsilon I$.
– Richard Martin
Nov 15 at 13:46
|
show 1 more comment
Just doing a Fourier transformation right away without regularization is not very advisable in presence of noise.
– mathreadler
Nov 15 at 13:09
That's not what I'm saying. Write the objective function (of the regularised problem) in Fourier space, and solve for $F(omega)$. In fact, a glance at the answer shows you that $F(omega)=G(omega)/[e^{-omega^2/2} + a]$.
– Richard Martin
Nov 15 at 13:21
I think the answer is probably going to look like $F[K]G(w)/(F[K]F[K] + alpha)$ where F[K] is the fourier of kernel, which resembles more the typical tikhonov regularized least squares formula.
– Cowboy Trader
Nov 15 at 13:23
@CowboyTrader No this is not good way to do it. You need more freedom for regularization and adding more information to avoid underdetermination.
– mathreadler
Nov 15 at 13:25
Effectively all you're doing is this. You don't want to divide by $e^{-omega^2/2}$ because it comes too close to zero (when $|omega|$ large). But if you add a constant on to the denominator, then it becomes bounded away from zero. Job done. The same with any situation where you need to "divide" by a matrix $M$ whose eigenvalues might get close to zero: replace the matrix with $M+epsilon I$.
– Richard Martin
Nov 15 at 13:46
Just doing a Fourier transformation right away without regularization is not very advisable in presence of noise.
– mathreadler
Nov 15 at 13:09
Just doing a Fourier transformation right away without regularization is not very advisable in presence of noise.
– mathreadler
Nov 15 at 13:09
That's not what I'm saying. Write the objective function (of the regularised problem) in Fourier space, and solve for $F(omega)$. In fact, a glance at the answer shows you that $F(omega)=G(omega)/[e^{-omega^2/2} + a]$.
– Richard Martin
Nov 15 at 13:21
That's not what I'm saying. Write the objective function (of the regularised problem) in Fourier space, and solve for $F(omega)$. In fact, a glance at the answer shows you that $F(omega)=G(omega)/[e^{-omega^2/2} + a]$.
– Richard Martin
Nov 15 at 13:21
I think the answer is probably going to look like $F[K]G(w)/(F[K]F[K] + alpha)$ where F[K] is the fourier of kernel, which resembles more the typical tikhonov regularized least squares formula.
– Cowboy Trader
Nov 15 at 13:23
I think the answer is probably going to look like $F[K]G(w)/(F[K]F[K] + alpha)$ where F[K] is the fourier of kernel, which resembles more the typical tikhonov regularized least squares formula.
– Cowboy Trader
Nov 15 at 13:23
@CowboyTrader No this is not good way to do it. You need more freedom for regularization and adding more information to avoid underdetermination.
– mathreadler
Nov 15 at 13:25
@CowboyTrader No this is not good way to do it. You need more freedom for regularization and adding more information to avoid underdetermination.
– mathreadler
Nov 15 at 13:25
Effectively all you're doing is this. You don't want to divide by $e^{-omega^2/2}$ because it comes too close to zero (when $|omega|$ large). But if you add a constant on to the denominator, then it becomes bounded away from zero. Job done. The same with any situation where you need to "divide" by a matrix $M$ whose eigenvalues might get close to zero: replace the matrix with $M+epsilon I$.
– Richard Martin
Nov 15 at 13:46
Effectively all you're doing is this. You don't want to divide by $e^{-omega^2/2}$ because it comes too close to zero (when $|omega|$ large). But if you add a constant on to the denominator, then it becomes bounded away from zero. Job done. The same with any situation where you need to "divide" by a matrix $M$ whose eigenvalues might get close to zero: replace the matrix with $M+epsilon I$.
– Richard Martin
Nov 15 at 13:46
|
show 1 more comment
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