An analysis of the SPARSEVA estimate for the finite sample data case

DOI10.1016/J.AUTOMATICA.2018.06.046MaRDI QIDQ1716452zbMATH OpenOpenAlexWikidataFDO

Authors James S. Welsh, Cristian R. Rojas, Huong Giang Ha, B. Wahlberg

Publication date 5 February 2019

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.09351

zbMATH Keywords

estimation errorfinite sample dataSPARSEVA estimateupper bound

Mathematics Subject Classification ID

Sampled-data control/observation systems (93C57) Estimation and detection in stochastic control theory (93E10)

Abstract: In this paper, we develop an upper bound for the SPARSEVA (SPARSe Estimation based on a VAlidation criterion) estimation error in a general scheme, i.e., when the cost function is strongly convex and the regularized norm is decomposable for a pair of subspaces. We show how this general bound can be applied to a sparse regression problem to obtain an upper bound for the traditional SPARSEVA problem. Numerical results are used to illustrate the effectiveness of the suggested bound.

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