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Regularization networks:fast weight calculation via Kalman filtering

Author(s):

G. De Nicolao, G. Ferrari-Trecate
Conference/Journal:

vol. AUT00-09
Abstract:

Regularization networks are nonparametric estimators obtained from the application of Tychonov regularization or Bayes estimation to the hypersurface reconstruction problem. Their main drawback is that the computation of the weights scales as $O(n^{3})$ where $n$ is the number of data. In this paper we show that for a class of monodimensional problems, the complexity can be reduced to $O(n)$ by a suitable algorithm based on spectral factorization and Kalman filtering. Moreover, the procedure applies also to smoothing splines.

Year:

2000
Type of Publication:

(04)Technical Report
Supervisor:



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% Autogenerated BibTeX entry
@TechReport { NicFer:2000:IFA_34,
    author={G. De Nicolao and G. Ferrari-Trecate},
    title={{Regularization networks:fast weight calculation via Kalman
	  filtering}},
    institution={},
    year={2000},
    number={},
    address={},
    month=mar,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=34}
}
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