TY - GEN
T1 - Online coordinate descent for adaptive estimation of sparse signals
AU - Angelosante, Daniele
AU - Bazerque, Juan Andres
AU - Giannakis, Georgios B.
PY - 2009/12/25
Y1 - 2009/12/25
N2 - Two low-complexity sparsity-aware recursive schemes are developed for real-time adaptive signal processing. Both rely on a novel online coordinate descent algorithm which minimizes a time-weighted least-squares cost penalized with the scaled ℓ1 norm of the unknown parameters. In addition to computational savings offered when processing time-invariant sparse parameter vectors, both schemes can be used for tracking slowly varying sparse signals. Analysis and preliminary simulations confirm that when the true signal is sparse the proposed estimators converge to a time-weighted least-absolute shrinkage and selection operator, and both outperform sparsity-agnostic recursive least-squares alternatives.
AB - Two low-complexity sparsity-aware recursive schemes are developed for real-time adaptive signal processing. Both rely on a novel online coordinate descent algorithm which minimizes a time-weighted least-squares cost penalized with the scaled ℓ1 norm of the unknown parameters. In addition to computational savings offered when processing time-invariant sparse parameter vectors, both schemes can be used for tracking slowly varying sparse signals. Analysis and preliminary simulations confirm that when the true signal is sparse the proposed estimators converge to a time-weighted least-absolute shrinkage and selection operator, and both outperform sparsity-agnostic recursive least-squares alternatives.
KW - Basis pursuit
KW - Compressive sensing
KW - Coordinate descent
KW - Lasso
KW - Recursive least-squares
UR - http://www.scopus.com/inward/record.url?scp=72349096109&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=72349096109&partnerID=8YFLogxK
U2 - 10.1109/SSP.2009.5278561
DO - 10.1109/SSP.2009.5278561
M3 - Conference contribution
AN - SCOPUS:72349096109
SN - 9781424427109
T3 - IEEE Workshop on Statistical Signal Processing Proceedings
SP - 369
EP - 372
BT - 2009 IEEE/SP 15th Workshop on Statistical Signal Processing, SSP '09
T2 - 2009 IEEE/SP 15th Workshop on Statistical Signal Processing, SSP '09
Y2 - 31 August 2009 through 3 September 2009
ER -