Topic summary
Tikhonov regularization
Extracted from the Wikipedia article Ridge regression.
History
Tikhonov regularization was invented independently in many different contexts. It became widely known through its application to integral equations in the works of Andrey Tikhonov and David L. Phillips. Some authors use the term Tikhonov–Phillips regularization. The finite-dimensional case was expounded by Arthur E. Hoerl, who took a statistical approach, and by Manus Foster, who interpreted this method as a Wiener–Kolmogorov (Kriging) filter. Following Hoerl, it is known in the statistical literature as ridge regression, named after ridge analysis ("ridge" refers to the path from the constrained maximum).