Convergence of generalized cross-validation with applications to ill-posed integral equations

Abstract: In this article, we rigorously establish the consistency of generalized cross-validation as a parameter-choice rule for solving inverse problems. We prove that the index chosen by leave-one-out GCV achieves a non-asymptotic, order-optimal error bound with high probability for polynomially ill-posed compact operators. Hereby it is remarkable that the unknown true solution need not satisfy a self-similarity condition, which is generally needed for other heuristic parameter choice rules. We quantify the rate and demonstrate convergence numerically on integral equation test cases, including image deblurring and CT reconstruction.