Distributed Recursive Least-Squares: Stability and Performance Analysis

DOI10.1109/TSP.2012.2194290MaRDI QIDQ4573878zbMATH OpenFDO

Authors Gonzalo Mateos, Georgios B. Giannakis

Publication date 18 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.4627

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Applications of mathematical programming (90C90) Communication theory (94A05)

Abstract: The recursive least-squares (RLS) algorithm has well-documented merits for reducing complexity and storage requirements, when it comes to online estimation of stationary signals as well as for tracking slowly-varying nonstationary processes. In this paper, a distributed recursive least-squares (D-RLS) algorithm is developed for cooperative estimation using ad hoc wireless sensor networks. Distributed iterations are obtained by minimizing a separable reformulation of the exponentially-weighted least-squares cost, using the alternating-minimization algorithm. Sensors carry out reduced-complexity tasks locally, and exchange messages with one-hop neighbors to consent on the network-wide estimates adaptively. A steady-state mean-square error (MSE) performance analysis of D-RLS is conducted, by studying a stochastically-driven `averaged' system that approximates the D-RLS dynamics asymptotically in time. For sensor observations that are linearly related to the time-invariant parameter vector sought, the simplifying independence setting assumptions facilitate deriving accurate closed-form expressions for the MSE steady-state values. The problems of mean- and MSE-sense stability of D-RLS are also investigated, and easily-checkable sufficient conditions are derived under which a steady-state is attained. Without resorting to diminishing step-sizes which compromise the tracking ability of D-RLS, stability ensures that per sensor estimates hover inside a ball of finite radius centered at the true parameter vector, with high-probability, even when inter-sensor communication links are noisy. Interestingly, computer simulations demonstrate that the theoretical findings are accurate also in the pragmatic settings whereby sensors acquire temporally-correlated data.

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• Robust and scalable distributed recursive least squares
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• Distributed estimation with quantized measurements and communication over Markovian switching topologies
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• Optimal spatial-temporal triangulation for bearing-only cooperative motion estimation
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