2019
DOI: 10.3934/ipi.2019012
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A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles

Abstract: We state sufficient conditions for the uniqueness of minimizers of Tikhonov-type functionals. We further explore a connection between such results and the well-posedness of Morozov-like discrepancy principle. Moreover, we find appropriate conditions to apply such results to the local volatility surface calibration problem.2010 Mathematics Subject Classification. Primary: 65J22, 47J06; Secondary: 35R30. Definition 2.1. For any convex and weakly lower semi-continuous functional f : D(f ) ⊂ A → [0, +∞) let ∂f (a)… Show more

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Cited by 8 publications
(4 citation statements)
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“…To avoid the introduction of bias in the calibration process, the parameter α must be appropriately chosen. In the present set of examples, we set α = 10 −3 /2 accordingly to an a posteriori rule [ 29 ].…”
Section: Methodsmentioning
confidence: 99%
“…To avoid the introduction of bias in the calibration process, the parameter α must be appropriately chosen. In the present set of examples, we set α = 10 −3 /2 accordingly to an a posteriori rule [ 29 ].…”
Section: Methodsmentioning
confidence: 99%
“…It states that the square of the Euclidean distance between the calibrated and must be minimal. However, the importance of this term in the minimization is stated by the regularization parameter, namely, , which balances the introduction of prior information and the reduction of overfitting [ 35 ].…”
Section: Methodsmentioning
confidence: 99%
“…Therefore, we assume that we know y δ ∈ Y with y δ − y Y ≤ δ for a given δ ≥ 0. The most commonly adopted technique to solve problem (1) is the p -norm sparsity regularization with 1 ≤ p < 2, cf. the monographs [20,41] and the special issues [5,14,29,30] for many developments on regularization properties and minimization schemes.…”
mentioning
confidence: 99%
“…In [3], convergence rates are investigated using variational inequalities, where the regularization parameter is determined by MDP. A relation between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles is shown in [1].…”
mentioning
confidence: 99%