Stability and performance analysis of the compressed Kalman filter algorithm for sparse stochastic systems

This paper considers the problem of estimating unknown sparse time-varying signals for stochastic dynamic systems.To deal with the challenges of extensive sparsity,we resort to the compressed sensing method and propose a compressed Kalman filter(KF)algorithm.Our algorithm first compresses the original high-dimensional sparse regression vector via the sensing matrix and then obtains a KF estimate in the compressed low-dimensional space.Subsequently,the original high-dimensional sparse signals can be well recovered by a reconstruction technique.To ensure stability and establish upper bounds on the estimation errors,we introduce a compressed excitation condition without imposing independence or stationarity on the system signal,and therefore suitable for feedback systems.We further present the performance of the compressed KF algorithm.Specifically,we show that the mean square compressed tracking error matrix can be approximately calculated by a linear deterministic difference matrix equation,which can be readily evaluated,analyzed,and optimized.Finally,a numerical example demonstrates that our algorithm outperforms the standard uncompressed KF algorithm and other compressed algorithms for estimating high-dimensional sparse signals.

Compressed Least Squares Algorithm of Continuous-Time Linear Stochastic Regression Model Using Sampling Data

In this paper,the authors consider a sparse parameter estimation problem in continuoustime linear stochastic regression models using sampling data.Based on the compressed sensing(CS)method,the authors propose a compressed least squares(LS) algorithm to deal with the challenges of parameter sparsity.At each sampling time instant,the proposed compressed LS algorithm first compresses the original high-dimensional regressor using a sensing matrix and obtains a low-dimensional LS estimate for the compressed unknown parameter.Then,the original high-dimensional sparse unknown parameter is recovered by a reconstruction method.By introducing a compressed excitation assumption and employing stochastic Lyapunov function and martingale estimate methods,the authors establish the performance analysis of the compressed LS algorithm under the condition on the sampling time interval without using independence or stationarity conditions on the system signals.At last,a simulation example is provided to verify the theoretical results by comparing the standard and the compressed LS algorithms for estimating a high-dimensional sparse unknown parameter.

Distributed Least Squares Algorithm of Continuous-Time Stochastic Regression Model Based on Sampled Data

In this paper,the authors consider the distributed adaptive identification problem over sensor networks using sampled data,where the dynamics of each sensor is described by a stochastic differential equation.By minimizing a local objective function at sampling time instants,the authors propose an online distributed least squares algorithm based on sampled data.A cooperative non-persistent excitation condition is introduced,under which the convergence results of the proposed algorithm are established by properly choosing the sampling time interval.The upper bound on the accumulative regret of the adaptive predictor can also be provided.Finally,the authors demonstrate the cooperative effect of multiple sensors in the estimation of unknown parameters by computer simulations.

Distributed order estimation for continuous-time stochastic systems

In this paper,we investigate the distributed estimation problem of continuous-time stochastic dynamic systems over sensor networks when both the system order and parameters are unknown.We propose a local information criterion(LIC)based on the L_(0)penalty term.By minimizing LIC at the diffusion time instant and utilizing the continuous-time diffusion least squares algorithm,we obtain a distributed estimation algorithm to simultaneously estimate the unknown order and the parameters of the system.By dealing with the effect of the system noises and the coupling relationship between estimation of system orders and parameters,we establish the almost sure convergence results of the proposed distributed estimation algorithm.Furthermore,we give a simulation example to verify the effectiveness of the distributed algorithm in estimating the system order and parameters.