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Robust linear estimation using M-estimation and weighted L1 regularization: Model selection and recursive implementation | IEEE Conference Publication | IEEE Xplore

Robust linear estimation using M-estimation and weighted L1 regularization: Model selection and recursive implementation


Abstract:

This paper studies an M-estimation-based method for linear estimation with weighted L1 regularization and its recursive implementation. Motivated by the sensitivity of co...Show More

Abstract:

This paper studies an M-estimation-based method for linear estimation with weighted L1 regularization and its recursive implementation. Motivated by the sensitivity of conventional least-squares-based L1-regularized linear estimation (Lasso) in impulsive noise environment, an M-estimator-based Lasso (M-Lasso) method is introduced to restrain the outliers and an iterative re-weighted least-squares (IRLS) algorithm is proposed to solve this M-estimation problem. Moreover, instead of using the matrix inversion formula, QR decomposition (QRD) is employed in the M-Lasso for recursive implementation with a lower arithmetic complexity. Simulation results show that the M-estimation-based Lasso performs considerably better than the traditional LS-based Lasso in suppressing the impulsive noise, and its recursive QRD algorithm has a good performance in online processing.
Date of Conference: 24-27 May 2009
Date Added to IEEE Xplore: 26 June 2009
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Conference Location: Taipei, Taiwan

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