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Smoothed State Estimates under Abrupt Changes using Sum-of-Norms Regularization
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Stanford University, USA.
2012 (English)In: Automatica, ISSN 0005-1098, Vol. 48, no 4, 595-605 p.Article in journal (Refereed) Published
Abstract [en]

The presence of abrupt changes, such as impulsive and load disturbances, commonly occur in applications, but make the state estimation problem considerably more difficult than in the standard setting with Gaussian process disturbance. Abrupt changes often introduce a jump in the state, and the problem is therefore readily and often treated by change detection techniques. In this paper, we take a different approach. The state smoothing problem for linear state space models is here formulated as a constrained least-squares problem with sum-of-norms regularization, a generalization of l1-regularization. This novel formulation can be seen as a convex relaxation of the well known generalized likelihood ratio method by Willsky and Jones. Another nice property of the suggested formulation is that it only has one tuning parameter, the regularization constant which is used to trade off fit and the number of jumps. Good practical choices of this parameter along with an extension to nonlinear state space models are given. 

Place, publisher, year, edition, pages
Elsevier, 2012. Vol. 48, no 4, 595-605 p.
Keyword [en]
State estimation, Impulsive disturbance, Load disturbance, Smoothing, Sparsity, Regularization, Change detection
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-60985DOI: 10.1016/j.automatica.2011.08.063ISI: 000302766400002OAI: diva2:360027
Swedish Research Council
Available from: 2010-11-01 Created: 2010-11-01 Last updated: 2013-07-23
In thesis
1. Regularization for Sparseness and Smoothness: Applications in System Identification and Signal Processing
Open this publication in new window or tab >>Regularization for Sparseness and Smoothness: Applications in System Identification and Signal Processing
2010 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

In system identification, the Akaike Information Criterion (AIC) is a well known method to balance the model fit against model complexity. Regularization here acts as a price on model complexity. In statistics and machine learning, regularization has gained popularity due to modeling methods such as Support Vector Machines (SVM), ridge regression and lasso. But also when using a Bayesian approach to modeling, regularization often implicitly shows up and can be associated with the prior knowledge. Regularization has also had a great impact on many applications, and very much so in clinical imaging. In e.g., breast cancer imaging, the number of sensors is physically restricted which leads to long scantimes. Regularization and sparsity can be used to reduce that. In Magnetic Resonance Imaging (MRI), the number of scans is physically limited and to obtain high resolution images, regularization plays an important role.

Regularization shows-up in a variety of different situations and is a well known technique to handle ill-posed problems and to control for overfit. We focus on the use of regularization to obtain sparseness and smoothness and discuss novel developments relevant to system identification and signal processing.

In regularization for sparsity a quantity is forced to contain elements equal to zero, or to be sparse. The quantity could e.g., be the regression parameter vectorof a linear regression model and regularization would then result in a tool for variable selection. Sparsity has had a huge impact on neighboring disciplines, such as machine learning and signal processing, but rather limited effect on system identification. One of the major contributions of this thesis is therefore the new developments in system identification using sparsity. In particular, a novel method for the estimation of segmented ARX models using regularization for sparsity is presented. A technique for piecewise-affine system identification is also elaborated on as well as several novel applications in signal processing. Another property that regularization can be used to impose is smoothness. To require the relation between regressors and predictions to be a smooth function is a way to control for overfit. We are here particularly interested in regression problems with regressors constrained to limited regions in the regressor-space e.g., a manifold. For this type of systems we develop a new regression technique, Weight Determination by Manifold Regularization (WDMR). WDMR is inspired byapplications in biology and developments in manifold learning and uses regularization for smoothness to obtain smooth estimates. The use of regularization for smoothness in linear system identification is also discussed.

The thesis also presents a real-time functional Magnetic Resonance Imaging (fMRI) bio-feedback setup. The setup has served as proof of concept and been the foundation for several real-time fMRI studies.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2010. 89 p.
Linköping Studies in Science and Technology. Dissertations, ISSN 0345-7524 ; 1351
Regularization, sparsity, smothness, lasso, l1, fMRI, bio-feedback
National Category
Engineering and Technology
urn:nbn:se:liu:diva-60531 (URN)978-91-7393-287-5 (ISBN)
Public defence
2010-11-26, I101, Hus I, Campus Valla, Linköping University, Linköping, 10:15 (Swedish)
Available from: 2010-11-03 Created: 2010-10-16 Last updated: 2010-11-03Bibliographically approved

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