RLS-weighted Lasso for adaptive estimation of sparse signals

Daniele Angelosante, Georgios B. Giannakis

Research output: Chapter in Book/Report/Conference proceedingConference contribution

76 Scopus citations

Abstract

The batch least-absolute shrinkage and selection operator (Lasso) has well-documented merits for estimating sparse signals of interest emerging in various applications, where observations adhere to parsimonious linear regression models. To cope with linearly growing complexity and memory requirements that batch Lasso estimators face when processing observations sequentially, the present paper develops a recursive Lasso algorithm that can also track slowlyvarying sparse signals of interest. Performance analysis reveals that recursive Lasso can either estimate consistently the sparse signal's support or its nonzero entries, but not both. This motivates the development of a weighted version of the recursive Lasso scheme with weights obtained from the recursive least-squares (RLS) algorithm. The resultant RLS-weighted Lasso algorithm provably estimates sparse signals consistently. Simulated tests compare competing alternatives and corroborate the performance of the novel algorithms in estimating time-invariant and tracking slow-varying signals under sparsity constraints.

Original languageEnglish (US)
Title of host publication2009 IEEE International Conference on Acoustics, Speech, and Signal Processing - Proceedings, ICASSP 2009
Pages3245-3248
Number of pages4
DOIs
StatePublished - Sep 23 2009
Event2009 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2009 - Taipei, Taiwan, Province of China
Duration: Apr 19 2009Apr 24 2009

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)1520-6149

Other

Other2009 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2009
CountryTaiwan, Province of China
CityTaipei
Period4/19/094/24/09

Keywords

  • Lasso
  • Sparsity
  • Tracking
  • Variable selection

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