Smoothing Spline Algorithm
- From: "woessner@xxxxxxxxx" <woessner@xxxxxxxxx>
- Date: 16 Apr 2007 10:39:41 -0700
I'm looking for a good reference on smoothing splines (using cubic
natural splines). Specifically, I'm looking for an efficient
algorithm to compute a smoothing spline (preferably with derivation).
I have cooked up my own MATLAB code but I fear it's pretty
inefficient. I've been able to reduce the problem to inverting a 3N-4
banded matrix with bandwidth 2N (N is the number of knots).
However, according to this website:
http://www.physics.utah.edu/~detar/phycs6720/handouts/cubic_spline/cubic_spline/node2.html
the problem can be further reduced to solivng a tridiagonal system.
Unfortunately, they don't offer the algorithm or any kind of
derivation. And I've been unable to reduce the problem further.
Thanks in advance,
Bill Woessner
.
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