[SciPy-User] scipy.interpolate.rbf: how is "smooth" defined?
Mon Aug 30 11:18:58 CDT 2010
On Mon, Aug 30, 2010 at 12:01 PM, Gael Varoquaux
> On Mon, Aug 30, 2010 at 11:57:47AM -0400, firstname.lastname@example.org wrote:
>> 1e-6 might be more like a minimum, in many cases it might need to be
>> much larger. But it would be useful to have better heuristics than
>> just trial and error.
> I have not really been following the conversation (sorry), but are you
> not talking about Tikhonov regularization of a covariance matrix? In
> which case, I have had good experience using the Ledoit-Wolf approach to
> setting the regularization factor.
It's the same idea, but instead of the covariance matrix, RBF uses the
kernel matrix. It will be worth a try, but I don't know whether the
choice of the regularization factor will apply in the same way here.
> I can provide numpy code for that, if needed.
Please do, I can also use it for other things. (I never read the small
print in Ledoit-Wolf.)
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