We develop a forward-reverse expectation-maximization (FREM) algorithm for estimating parameters of a discrete-time Markov chain evolving through a certain measurable state-space. For the construction of the FREM method, we develop forward-reverse representations for Markov chains conditioned on a certain terminal state. We prove almost sure convergence of our algorithm for a Markov chain model with curved exponential family structure. On the numerical side, we carry out a complexity analysis of the forward-reverse algorithm by deriving its expected cost. Two application examples are discussed.

An inverse diffraction problem is considered. Both classical Tikhonov regularisation and a slow-evolution-from-the-continuation-boundary (SECB) method are used to solve the ill-posed problem. Regularisation error estimates for the two methods are compared, and the SECB method is seen to be an improvement on the classical Tikhonov method. Two numerical examples demonstrate their feasibility and efficiency.

Morozov’s discrepancy principle is one of the simplest and most widely used parameter choice strategies in the context of regularization of ill-posed operator equations. Although many authors have considered this principle under general source conditions for linear ill-posed problems, such study for nonlinear problems is restricted to only a few papers. The aim of this paper is to apply Morozov’s discrepancy principle for Tikhonov regularization of nonlinear ill-posed problems under general source conditions.