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[Bug-gsl] [bug #41266] Tikhonov regularization for least squares

From: Patrick Alken
Subject: [Bug-gsl] [bug #41266] Tikhonov regularization for least squares
Date: Fri, 17 Jan 2014 18:31:17 +0000
User-agent: Mozilla/5.0 (X11; Linux i686 on x86_64; rv:26.0) Gecko/20100101 Firefox/26.0


                 Summary: Tikhonov regularization for least squares
                 Project: GNU Scientific Library
            Submitted by: psa
            Submitted on: Fri 17 Jan 2014 06:31:16 PM GMT
                Category: None
                Severity: 3 - Normal
        Operating System: 
                  Status: None
             Assigned to: psa
             Open/Closed: Open
         Discussion Lock: Any



Investigate if its feasible to add a simple Tikhonov regularization matrix to
least squares solutions:

A^T A ==> A^T A + mu^2*I

have another API function to specify mu.

Does it make sense to instead pass a vector diag(D) so the user can
selectively damp coefficients instead of damping every coefficient?


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