QUARKS: Identification of Large-Scale Kronecker Vector-AutoRegressive Models

DOI10.1109/TAC.2018.2845662zbMATH Open1482.93659arXiv1609.07518OpenAlexW2769500090WikidataQ129711971 ScholiaQ129711971MaRDI QIDQ4629804FDOQ4629804

Authors: Baptiste Sinquin, Michel Verhaegen 

Publication date: 28 March 2019

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Abstract: In this paper we propose a Kronecker-based modeling for identifying the spatial-temporal dynamics of large sensor arrays. The class of Kronecker networks is defined for which we formulate a Vector Autoregressive model. Its coefficient-matrices are decomposed into a sum of Kronecker products. For a two-dimensional array of size $NimesN$, and when the number of terms in the sum is small compared to $N$, exploiting the Kronecker structure leads to high data compression. We propose an Alternating Least Squares algorithm to identify the coefficient matrices with $mathcalO(N^3{N}_t)$, where $N_t$ is the number of temporal samples, instead of $mathcalO(N^6)$ in the unstructured case. This framework moreover allows for a convenient integration of more structure (e.g sparse, banded, Toeplitz) on the factor matrices. Numerical examples on atmospheric turbulence data has shown comparable performances with the unstructured least-squares estimation while the number of parameters is growing only linearly w.r.t. the number of nodes instead of quadratically in the full unstructured matrix case.

Full work available at URL: https://arxiv.org/abs/1609.07518

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Large-scale systems (93A15) Identification in stochastic control theory (93E12)

Cited In (2)

• Autoregressive identification of Kronecker graphical models
• Nonparametric identification of Kronecker networks

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