Radius of information for two intersected centered hyperellipsoids and implications in optimal recovery from inaccurate data

Abstract

For objects belonging to a known model set and observed through a prescribed linear process, we aim at determining methods to recover linear quantities of these objects that are optimal from a worst-case perspective. Working in a Hilbert setting, we show that, if the model set is the intersection of two hyperellipsoids centered at the origin, then there is an optimal recovery method which is linear. It is specifically given by a constrained regularization procedure whose parameters can be precomputed by semidefinite programming. This general framework can be applied to several scenarios, including the two-space problem and problems involving ℓ2-inaccurate data. It can also be applied to the problem of recovery from ℓ1-inaccurate data. For the latter, we reach the conclusion of existence of an optimal recovery method which is linear, again given by constrained regularization, under a computationally verifiable sufficient condition.