A stochastic extended Rippa's algorithm for LpOCV

Abstract

In kernel-based approximation, the tuning of the so-called shape parameter is a fundamental step for achieving an accurate reconstruction. Recently, the popular Rippa's algorithm [14] has been extended to a more general cross validation setting. In this work, we propose a modification of such extension with the aim of further reducing the computational costs. The resulting Stochastic Extended Rippa's Algorithm (SERA) is first detailed and then tested by means of various numerical experiments, which show its efficacy and effectiveness in different approximation settings.