Estimation and Dynamic Updating of Time-Varying Signals With Sparse Variations (bibtex)
by , , and
Abstract:
This paper presents an algorithm for an l1-regularized Kalman filter. Given observations of a discrete-time linear dynamical system with sparse errors in the state evolution, we estimate the state sequence by solving an optimization algorithm that balances fidelity to the measurements (measured by the standard l2 norm) against the sparsity of the innovations (measured using the l1 norm). We also derive an efficient algorithm for updating the estimate as the system evolves. This dynamic updating algorithm uses a homotopy scheme that tracks the solution as new measurements are slowly worked into the system and old measurements are slowly removed. The effective cost of adding new measurements is a number of low-rank updates to the solution of a linear system of equations that is roughly proportional to the joint sparsity of all the innovations in the time interval of interest.
Reference:
Estimation and Dynamic Updating of Time-Varying Signals With Sparse VariationsM.S. Asif, A. Charles, J. Romberg and C. Rozell. In Proceedings of the International Conference on Acoustics, Speech, and Signal Processing (ICASSP), May 2011.
Bibtex Entry:
@InProceedings{asif.11,
  author = 	 {Asif, M.S. and Charles, A. and Romberg, J. and Rozell, C.},
  title = 	 {Estimation and Dynamic Updating of Time-Varying Signals With Sparse Variations},
  booktitle =	 {{Proceedings of the International Conference on Acoustics, Speech, and Signal Processing (ICASSP)}},
  year =	 2011,
  month = {May},
  address =	 {Prague, Czech Republic},
abstract = {
This paper presents an algorithm for an l1-regularized Kalman filter. Given observations of a discrete-time linear dynamical system with sparse errors in the state evolution, we estimate the state sequence by solving an optimization algorithm that balances fidelity to the measurements (measured by the standard l2 norm) against the sparsity of the innovations (measured using the l1 norm). We also derive an efficient algorithm for updating the estimate as the system evolves. This dynamic updating algorithm uses a homotopy scheme that tracks the solution as new measurements are slowly worked into the system and old measurements are slowly removed. The effective cost of adding new measurements is a number of low-rank updates to the solution of a linear system of equations that is roughly proportional to the joint sparsity of all the innovations in the time interval of interest.},
url =          {http://siplab.gatech.edu/pubs/asifICASSP2011.pdf}
}
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