Sparse estimation from noisy observations of an overdetermined linear system

DOI10.1016/J.AUTOMATICA.2014.08.018MaRDI QIDQ473308zbMATH OpenOpenAlexFDO

Authors Liang Dai, Kristiaan Pelckmans

Publication date 24 November 2014

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.2864

zbMATH Keywords

parameter estimationsparse estimationsystem identification

Mathematics Subject Classification ID

Linear programming (90C05) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

Abstract: This note studies a method for the efficient estimation of a finite number of unknown parameters from linear equations, which are perturbed by Gaussian noise. In case the unknown parameters have only few nonzero entries, the proposed estimator performs more efficiently than a traditional approach. The method consists of three steps: (1) a classical Least Squares Estimate (LSE), (2) the support is recovered through a Linear Programming (LP) optimization problem which can be computed using a soft-thresholding step, (3) a de-biasing step using a LSE on the estimated support set. The main contribution of this note is a formal derivation of an associated ORACLE property of the final estimate. That is, when the number of samples is large enough, the estimate is shown to equal the LSE based on the support of the {em true} parameters.

Recommendations

• On oracle inequalities related to high dimensional linear models
• SOCP based variance free Dantzig selector with application to robust estimation
• Reconstruction of sparse vectors in white Gaussian noise
• For most large underdetermined systems of equations, the minimal 𝓁₁‐norm near‐solution approximates the sparsest near‐solution
• Scaled sparse linear regression

Cites work

• A note on the super efficient estimator
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Application of a least absolute shrinkage and selection operator to aeroelastic flight test data
• Compressed sensing
• Introduction to spectral analysis
• On covariance function tests used in system identification
• SOME THEOREMS IN LEAST SQUARES
• Sparse estimators and the oracle property, or the return of Hodges' estimator
• The Adaptive Lasso and Its Oracle Properties
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection via RIVAL (removing irrelevant variables amidst lasso iterations) and its application to nuclear material detection

Cited in

(1)

• Estimation of Sparse Nonnegative Sources from Noisy Overcomplete Mixtures Using MAP

Describes a project that uses

Uses Software

• ElemStatLearn

This page was built for publication: Sparse estimation from noisy observations of an overdetermined linear system

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q473308)