Unformatted text preview: pen( A Î» ) = Ïƒ 2 tr( A 2 Î» ) leads to optimal selection, but depends on unknown noise variance Ïƒ 2 Minimal penalty pen( A Î» ) = C [2tr( A Î» )-tr( A 2 Î» )] leads to a sharp jump in tr A Ë† Î» ( C ) around C = Ïƒ 2 Allows data-driven estimation of Ïƒ 2 and non-asymptotic oracle inequalities...
View Full Document
This note was uploaded on 02/12/2010 for the course COMPUTER S 10586 taught by Professor Jilinwang during the Fall '09 term at Zhejiang University.
- Fall '09
- Computer Science