Appendix A. Regularization Optimization for Ill-Posed Problems
Ill-posed problems are a class of mathematical problems that fail to meet one or more of the criteria for well-posedness established by Hadamard [
7]. According to Hadamard, a problem is well-posed if it satisfies the three following conditions:
Existence: A solution to the problem exists.
Uniqueness: The solution is unique.
Stability: The solution’s behavior changes continuously with changes in the initial data.
If any of these criteria are not satisfied, the problem is termed ill-posed. Ill-posed problems commonly arise in inverse problems, integral equations, and partial differential equations, particularly in scenarios involving physical systems where data is noisy, incomplete, or ambiguous. Such problems are inherently unstable, meaning that small perturbations in the input data can lead to disproportionately large deviations in the solution.
These challenges necessitate additional techniques to stabilize the problem and obtain meaningful solutions. In the absence of stabilization, solutions to ill-posed problems may be non-unique, physically implausible, or overly sensitive to noise in the data.
The general form of an ill-posed problem can be expressed mathematically as
where
K is a compact operator mapping elements from the vector space
X to
Y,
represents the unknown solution, and
is the data. Compact operators, by their nature, amplify noise, exacerbating the instability of the problem.
In practical scenarios, the observed data
f is often corrupted by noise, which is represented as
where
denotes the noise level. The presence of noise makes it difficult to directly solve Equation (
A1) because small errors in
f can lead to large errors in
x. This inherent instability underscores the need for regularization techniques to constrain the solution space and ensure stability.
Given the perturbed data
, the solution set can be expressed as
This formulation defines a set of possible solutions that satisfy the noise-constrained condition. However, the dependence of the solution
on the noisy data
introduces significant challenges. The inequality
does not inherently ensure either stability or uniqueness of the solution. Small variations in
can produce large variations in
, leading to instability. Moreover, multiple values of
x may satisfy the inequality, making the solution non-unique.
These issues highlight the core difficulties of solving ill-posed problems directly. Without further constraints or regularization, the resulting solutions are often impractical, unreliable, or physically meaningless. Regularization methods address these deficiencies by imposing additional structure or prior knowledge about the solution, which will be discussed in subsequent sections.
To address the instability inherent in ill-posed problems, regularization methods impose additional constraints or introduce prior knowledge about the solution. This process helps ensure that the solution is stable, unique, and physically meaningful. Regularization techniques are discussed in detail in the following sections.
To address these challenges, additional information is introduced in the form of regularization. Regularization imposes constraints or preferences on the solution, effectively narrowing the solution space to ensure stability and feasibility. This additional information can reflect physical, mathematical, or empirical considerations. For instance, in many applications, solutions are expected to be smooth or adhere to certain positivity constraints.
One widely accepted approach to regularization is Tikhonov regularization [
19]. Tikhonov regularization stabilizes the solution by introducing a stabilizing functional, modifying the optimization problem to
where
L is a linear operator that incorporates prior knowledge about the solution (e.g., smoothness or sparsity), and
is the regularization parameter that balances the trade-off between fidelity to the data and the stabilizing functional.
The choice of
L and
significantly impacts the solution. Common choices for
L include the identity operator (standard Tikhonov regularization) or higher-order derivatives to enforce smoothness. Various methods exist to determine the optimal
, such as the L-curve criterion [
42], cross-validation, or generalized cross-validation [
44].
The operator
K in Equation (
A1) is often a continuous compact operator. For many problems,
K is expressed as a Fredholm integral equation of the first kind:
Here,
is the kernel function, which defines the relationship between the unknown function
and the data
. The kernel function
itself lies in a Hilbert space, providing a structured framework for its analysis.
A Hilbert space is a complete vector space equipped with an inner product that induces a norm. The inner product, denoted by , is a bilinear form that satisfies the following properties for all and or :
Linearity: .
Symmetry: .
Positive definiteness: , and if and only if .
A norm is induced by the inner product as . Completeness means that every Cauchy sequence in the Hilbert space converges to an element within the space. Examples of Hilbert spaces include (the space of square-summable sequences) and (the space of square-integrable functions on ).
Compact operators such as K are characterized by their ability to map bounded sets in X to relatively compact sets in Y. This property exacerbates the ill-posedness of the problem, as small perturbations in can lead to disproportionately large changes in . Compactness implies that the image under K of any bounded sequence in X has a subsequence that converges in Y. The integral form of K highlights its dependence on the kernel function , which encapsulates the physics or underlying principles of the problem at hand.
Discretization of the Fredholm integral operator is commonly performed to solve the problem numerically. This process leads to the matrix formulation:
where
represents the discrete approximation of
f,
is the discrete solution, and
is the discretized operator derived from
. However, discretization introduces numerical challenges such as instability due to the ill-conditioning of
. Ill-conditioning means that small errors in
can result in large errors in
, making the system sensitive to perturbations. These challenges necessitate the use of regularization techniques to mitigate the effects of noise and stabilize the solution.
The Fredholm integral equation of the first kind provides a mathematical framework for many inverse problems. The Hilbert space setting and compact operator properties play a central role in the analysis and solution of such equations, while regularization techniques are crucial for addressing their inherent instability.
Herein, we delve into several widely used algorithms developed to solve such problems. These include CONTIN [
45], Maximum Entropy [
29], ITAMeD [
32], TRAIn [
31], and PALMA [
33], among others. Each algorithm employs unique approaches to tackle the challenges posed by ill-posedness, noise, and instability in the context of Fredholm integral equations. We will explore their mathematical foundations, implementation strategies, and applications across various scientific fields.
Appendix A.1. The CONTIN Algorithm: A Constrained Regularization Approach
The CONTIN algorithm, developed by S.W. Provencher, is a powerful and flexible method for solving noisy linear operator equations, including Fredholm integral equations of the first kind. It is designed to handle the inherent ill-posedness of such problems by incorporating constraints and regularization techniques. CONTIN addresses equations of the form:
where
are the observed data points,
represents the kernel function,
is the unknown solution, and
accounts for noise. This formulation encompasses a wide range of experimental contexts, such as photon correlation spectroscopy and Laplace transforms. To solve Equation (
A7), CONTIN discretizes it into a system of linear algebraic equations:
where
is the vector of observed data,
is the discretized kernel matrix,
is the solution vector, and
represents noise. The ill-conditioning of
necessitates regularization to ensure stable and meaningful solutions.
CONTIN minimizes the following functional to determine the optimal solution:
where
is a weighting matrix based on the covariance of the noise,
represents the regularization operator, and
is the regularization parameter. The second term penalizes non-physical or oscillatory solutions, promoting stability and smoothness.
The functional comprises two main components:
Data fidelity term: , which quantifies the deviation of the model solution from the observed data, weighted by the noise covariance matrix .
Regularization term: , where encodes prior knowledge about the solution, such as smoothness or sparsity. The parameter balances these two terms.
The minimization of
is performed using numerical optimization techniques. The gradient of
with respect to
is given by
Iterative solvers, such as conjugate gradient or quasi-Newton methods, are employed to find
, which minimizes
under the imposed constraints.
The regularization parameter plays a critical role in balancing the data fidelity and smoothness of the solution. CONTIN iteratively adjusts using the following algorithm (Algorithm A1):
Algorithm A1: CONTIN algorithm for adaptive regularization |
![Mathematics 13 02166 i005]() |
This algorithm allows for the incorporation of equality and inequality constraints, which reflect prior knowledge about the solution. For instance, non-negativity constraints can be imposed to ensure that the solution
remains physically meaningful:
where
and
are user-defined matrices, and
and
are vectors specifying the constraints.
Appendix A.2. The Maximum Entropy Algorithm: A Regularization Method for Ill-Posed Problems
The maximum entropy (MaxEnt) algorithm is a widely used method for solving ill-posed problems. MaxEnt relies on the principle of entropy maximization to find the most probable solution consistent with the observed data, incorporating prior knowledge while avoiding overfitting to noise. We assume an objective of the form,
or equivalently
where
is a Lagrange multiplier (or regularization parameter) controlling the balance between data fidelity
and entropy
.
For the entropy term
its gradient with respect to
is
. For the
term, we carefully accumulate contributions from the residual
, scaled by
.
After exponentiating the negative gradient, solutions are often re-scaled to respect constraints such as (e.g., for a probability distribution). This step is crucial for maintaining physically or probabilistically meaningful solutions.
To solve this ill-posed problem, MaxEnt maximizes the entropy functional
S:
where
is the discretized value of
and
F ensures normalization. The entropy maximization is subject to constraints that enforce consistency with the observed data. The optimization problem is formulated as
where
is a Lagrange multiplier, and
quantifies the fit to the data:
where
is the observed data,
represents the integral kernel,
is the solution vector, and
is the standard deviation of the noise. The optimization is performed iteratively (see Algorithm A2):
Algorithm A2: MaxEnt algorithm |
![Mathematics 13 02166 i006]() |
Appendix A.3. Trust-Region Algorithm: A Regularization Approach for Inversion Problems
The trust-region algorithm for the inversion (TRAIn) is a robust and iterative regularization technique. Traditional iterative methods often struggle to balance convergence with robustness, resulting in solutions that may either converge too slowly or become unstable in the presence of measurement errors.
To address these issues, this algorithm has been developed as a powerful iterative regularization method. TRAIn minimizes the standard least-squares objective
while imposing two key constraints: non-negativity of the solution (
) and a bound on the change between consecutive iterations (
), where
denotes the trust-region radius at iteration
k. These constraints ensure that each iteration remains within a reliably stable region, effectively controlling the step size and preventing divergence.
At the heart of TRAIn lies the solution of a trust-region subproblem at each iteration. A trial step
is computed by approximately minimizing
using the truncated conjugate gradient method. The quality of this trial step is then quantified by the ratio
which compares the actual reduction in the objective to that predicted by the model. Based on the value of
, the trust-region radius is adjusted adaptively:
If , the radius is increased ().
If , the radius remains unchanged.
If , the radius is decreased ().
Typical parameter values are
,
,
, and
. The iterative process is terminated when the residual norm satisfies
with
representing the noise level and
is a constant slightly greater than 1 (e.g.,
).
The following algorithm provides a detailed exposition of TRAIn, describing the adaptive strategies that guarantee both stability and convergence even in the presence of significant noise (see Algorithm A3).
Algorithm A3: Trust-region algorithm for the inversion (TRAIn) |
![Mathematics 13 02166 i007]() |
Appendix A.4. Iterative Thresholding Algorithm for Inversion Problems
The iterative thresholding algorithm for inversion problems is a robust and efficient regularization method. By employing sparsity-promoting regularization and leveraging the fast iterative shrinkage-thresholding algorithm (FISTA). This provides high-resolution reconstruction of the inverse Laplace transform. This task is notoriously ill-posed, as it is sensitive to noise and requires regularization. The method formulates the problem as an
-regularized least-squares minimization:
where
is the kernel compact operator mapping elements from vector space X to Y;
x is the discretized unknown solution;
is the discrete approximation of f;
promotes sparsity in x;
is the regularization parameter.
FISTA is employed to efficiently solve the optimization problem. The algorithm iteratively updates the solution
x as follows (see Algorithm A4):
Algorithm A4: Iterative update algorithm with proximal operator |
![Mathematics 13 02166 i008]() |
Appendix A.5. PALMA Algorithm: Hybrid Regularization for Inversion Problems
The PALMA algorithm, standing for “Proximal Algorithm for
combined with MAxEnt prior,” is a hybrid regularization method designed to address the challenges of inversion problems. This algorithm integrates the principles of sparsity and entropy maximization to provide robust and efficient solutions for the inverse Laplace transform problem. The PALMA algorithm solves the following constrained optimization problem:
where:
The hybrid regularization function is defined as
where
is the negative Shannon entropy with a flat prior
a:
is the norm promoting sparsity;
balances the trade-off between entropy and sparsity.
The PALMA algorithm employs a proximal optimization approach to solve the hybrid regularization problem. The key steps are included in the algorihtm as follows (Algorithm A5):
Algorithm A5: Proximal and projection algorithm |
![Mathematics 13 02166 i009]() |
The PALMA algorithm requires the careful selection of parameters. The entropy prior a is typically chosen as the area under the expected spectrum, providing a meaningful baseline for the algorithm. The noise tolerance is estimated based on the noise level in the experimental data, ensuring the algorithm’s robustness against measurement inaccuracies. Lastly, the weight balances the influence of entropy and sparsity in the regularization process, with suggested values ranging between 0.01 and 0.5 to achieve an optimal trade-off between these competing factors.