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State smoothing by sum-of-norms regularization | IEEE Conference Publication | IEEE Xplore

State smoothing by sum-of-norms regularization


Abstract:

The presence of abrupt changes, such as impulsive disturbances and load disturbances, make state estimation considerably more difficult than the standard setting with Gau...Show More

Abstract:

The presence of abrupt changes, such as impulsive disturbances and load disturbances, make state estimation considerably more difficult than the standard setting with Gaussian process noise. Nevertheless, this type of disturbances is commonly occurring in applications which makes it an important problem. An abrupt change often introduces a jump in the state and the problem is therefore readily treated by change detection techniques. In this paper, we take a rather different approach. The state smoothing problem for linear state space models is here formulated as a least-squares problem with sum-of-norms regularization, a generalization of the ℓ1-regularization. A 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.
Date of Conference: 15-17 December 2010
Date Added to IEEE Xplore: 22 February 2011
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Conference Location: Atlanta, GA, USA

References

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