scholarly journals Multi-pass Sequential Mini-batch Stochastic Gradient Descent Algorithms for Noise Covariance Estimation in Adaptive Kalman Filtering

IEEE Access ◽  
2021 ◽  
pp. 1-1
Author(s):  
Hee-Seung Kim ◽  
Lingyi Zhang ◽  
Adam Bienkowski ◽  
Krishna R. Pattipati
2021 ◽  
Author(s):  
Hee-Seung Kim ◽  
Lingyi Zhang ◽  
Adam Bienkowski ◽  
Krishna Pattipati

<p>Estimation of unknown noise covariances in a Kalman filter is a problem of significant practical interest in a wide array of applications. Although this problem has a long history, reliable algorithms for their estimation were scant, and necessary and sufficient conditions for identifiability of the covariances were in dispute until recently. Necessary and sufficient conditions for covariance estimation and a batch estimation algorithm. This paper presents stochastic gradient descent (SGD) algorithms for noise covariance estimation in adaptive Kalman filters that are an order of magnitude faster than the batch method for similar or better root mean square error (RMSE) and are applicable to non-stationary systems where the noise covariances can occasionally jump up or down by an unknown magnitude. The computational efficiency of the new algorithm stems from adaptive thresholds for convergence, recursive fading memory estimation of the sample cross-correlations of the innovations, and accelerated SGD algorithms. The comparative evaluation of the proposed method on a number of test cases demonstrates its computational efficiency and accuracy.</p>


2021 ◽  
Author(s):  
Hee-Seung Kim ◽  
Lingyi Zhang ◽  
Adam Bienkowski ◽  
Krishna Pattipati

<p>Estimation of unknown noise covariances in a Kalman filter is a problem of significant practical interest in a wide array of applications. Although this problem has a long history, reliable algorithms for their estimation were scant, and necessary and sufficient conditions for identifiability of the covariances were in dispute until recently. Necessary and sufficient conditions for covariance estimation and a batch estimation algorithm. This paper presents stochastic gradient descent (SGD) algorithms for noise covariance estimation in adaptive Kalman filters that are an order of magnitude faster than the batch method for similar or better root mean square error (RMSE) and are applicable to non-stationary systems where the noise covariances can occasionally jump up or down by an unknown magnitude. The computational efficiency of the new algorithm stems from adaptive thresholds for convergence, recursive fading memory estimation of the sample cross-correlations of the innovations, and accelerated SGD algorithms. The comparative evaluation of the proposed method on a number of test cases demonstrates its computational efficiency and accuracy.</p>


2017 ◽  
Vol 2017 ◽  
pp. 1-13 ◽  
Author(s):  
Jibing Wu ◽  
Zhifei Wang ◽  
Yahui Wu ◽  
Lihua Liu ◽  
Su Deng ◽  
...  

Clustering analysis is a basic and essential method for mining heterogeneous information networks, which consist of multiple types of objects and rich semantic relations among different object types. Heterogeneous information networks are ubiquitous in the real-world applications, such as bibliographic networks and social media networks. Unfortunately, most existing approaches, such as spectral clustering, are designed to analyze homogeneous information networks, which are composed of only one type of objects and links. Some recent studies focused on heterogeneous information networks and yielded some research fruits, such as RankClus and NetClus. However, they often assumed that the heterogeneous information networks usually follow some simple schemas, such as bityped network schema or star network schema. To overcome the above limitations, we model the heterogeneous information network as a tensor without the restriction of network schema. Then, a tensor CP decomposition method is adapted to formulate the clustering problem in heterogeneous information networks. Further, we develop two stochastic gradient descent algorithms, namely, SGDClus and SOSClus, which lead to effective clustering multityped objects simultaneously. The experimental results on both synthetic datasets and real-world dataset have demonstrated that our proposed clustering framework can model heterogeneous information networks efficiently and outperform state-of-the-art clustering methods.


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