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The use of the r∗ heuristic in covariance completion problems

Grussler, C and Zare, A and Jovanović, MR and Rantzer, A (2016) The use of the r∗ heuristic in covariance completion problems. In: UNSPECIFIED pp. 1978-1983..

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We consider a class of structured covariance completion problems which aim to complete partially known sample statistics in a way that is consistent with the underlying linear dynamics. The statistics of stochastic inputs are unknown and sought to explain the given correlations. Such inverse problems admit many solutions for the forcing correlations, but can be interpreted as an optimal low-rank approximation problem for identifying forcing models of low complexity. On the other hand, the quality of completion can be improved by utilizing information regarding the magnitude of unknown entries. We generalize theoretical results regarding the r∗ norm approximation and demonstrate the performance of this heuristic in completing partially available statistics using stochastically-driven linear models.

Item Type: Conference or Workshop Item (UNSPECIFIED)
Divisions: Div F > Control
Depositing User: Cron Job
Date Deposited: 13 Nov 2018 01:53
Last Modified: 02 Sep 2021 04:37
DOI: 10.1109/CDC.2016.7798554