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arXiv · 2509.22077

Resolving features and derivatives in noisy data using weighted Whittaker-Henderson smoothing

Bert Mulder·Ad Lagendijk·Willem L. Vos
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Abstract

A frequently occurring challenge in experimental and numerical observations is how to resolve features, such as spectral peaks - with center, width, height - and derivatives from measured data with unavoidable noise. Although many smoothing procedures exist, most are ineffective at reducing noise when the widths of the features varies strongly. Therefore, we modify the Whittaker-Henderson smoothing procedure to locally balance the spectral features and the noise. The central contribution of our procedure is that we introduce adjustable weights that are optimized using cross-validation. Using the measurement errors, a straightforward error analysis of the smoothed results is feasible. To illustrate the effectiveness of our smoothing algorithm, we derive for an optical Bragg reflector nanostructure the chirp of an optical pulse (group delay dispersion) using synthetic phase data with noise. The smoother faithfully reconstructs the group delay dispersion, reducing noise by more than a factor 40, allowing to identify details that otherwise remain buried in noise. Finding the optimal weights using the limited-memory BFGS algorithm for N=1000 complex valued reflectivity data points takes on average less than two seconds on a typical computer. To further illustrate the power of our smoother, we introduce a general framework to solve commonly occurring difficulties in data and data analysis; how to properly smoothen unequally sampled data, how to identify and quantify discontinuities, including discontinuous derivatives or kinks, how to properly smooth data in the vicinity of boundaries to the data domains, and multi-dimensional smoothing.

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Bert Mulder, Ad Lagendijk, Willem L. Vos. 2025-09-26. Resolving features and derivatives in noisy data using weighted Whittaker-Henderson smoothing. https://doi.org/10.1088/1361-6501%2Fae804e

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