Global optimization of the generalized cross-validation criterion |
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| Authors: | Kent J. T. Mohammadzadeh M. |
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| Affiliation: | (1) Department of Statistics, University of Leeds, Leeds, LS2 9JT, England;(2) Department of Statistics, Tarbiat Modarres University, P.O. Box 14155-4838, Tehran, Iran |
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| Abstract: | Generalized cross-validation is a method for choosing the smoothing parameter in smoothing splines and related regularization problems. This method requires the global minimization of the generalized cross-validation function. In this paper an algorithm based on interval analysis is presented to find the globally optimal value for the smoothing parameter, and a numerical example illustrates the performance of the algorithm. |
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| Keywords: | regularization smoothing splines smoothing parameter generalized cross-validation interval analysis |
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