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

[Patrick Alken]

URL:
  <http://savannah.gnu.org/bugs/?41266>

                 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
                 Release: 
         Discussion Lock: Any

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Details:

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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