Inference of Spatio-Temporal Functions Over Graphs via Multikernel Kriged Kalman Filtering

DOI10.1109/TSP.2018.2827328zbMATH Open1414.62182arXiv1711.09306WikidataQ129948303 ScholiaQ129948303MaRDI QIDQ4622211FDOQ4622211

Authors: Vassilis N. Ioannidis, Daniel M. Romero, Georgios B. Giannakis 

Publication date: 12 February 2019

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

Abstract: Inference of space-time varying signals on graphs emerges naturally in a plethora of network science related applications. A frequently encountered challenge pertains to reconstructing such dynamic processes, given their values over a subset of vertices and time instants. The present paper develops a graph-aware kernel-based kriged Kalman filter that accounts for the spatio-temporal variations, and offers efficient online reconstruction, even for dynamically evolving network topologies. The kernel-based learning framework bypasses the need for statistical information by capitalizing on the smoothness that graph signals exhibit with respect to the underlying graph. To address the challenge of selecting the appropriate kernel, the proposed filter is combined with a multi-kernel selection module. Such a data-driven method selects a kernel attuned to the signal dynamics on-the-fly within the linear span of a pre-selected dictionary. The novel multi-kernel learning algorithm exploits the eigenstructure of Laplacian kernel matrices to reduce computational complexity. Numerical tests with synthetic and real data demonstrate the superior reconstruction performance of the novel approach relative to state-of-the-art alternatives.

Full work available at URL: https://arxiv.org/abs/1711.09306

Mathematics Subject Classification ID

Quadratic programming (90C20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Small world graphs, complex networks (graph-theoretic aspects) (05C82)

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