Best Automated Method for Selecting Tikhonov Regularization Parameter?

[newbee]

What is the best automated way to select the regularization parameter in a Tikhonov regularization?
Can you point me toward some code for this purpose?

Thank you,

 

[maze]

I don't think there is a general method for determining the parameter. Usually the number you choose comes from a physical understanding of the system being modeled.

In the classic example of inverting the heat equation, increasing the regularization parameter smooths out spurious high frequency solutions, but at the same time prevents you from recovering any actual high frequency information that might have been present to start with. The regularization parameter is chosen to properly to balance these competing factors.

 

[Cincinnatus]

There's a huge amount of work on exactly this question in the field of machine learning.

 

[newbee]

Cincinnatus

Do you have any references to the work? Much appreciated!