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Global optimization of the generalized cross-validation criterion

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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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Kent, J.T., Mohammadzadeh, M. Global optimization of the generalized cross-validation criterion. Statistics and Computing 10, 231–236 (2000). https://doi.org/10.1023/A:1008939510946

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  • DOI: https://doi.org/10.1023/A:1008939510946

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