USING BLOCK PSEUDOREVERSION IN SEQUENTIAL DATA PROCESSING

Предложен алгоритм последовательной обработки данных на основе блочного псевдообращения матриц полного столбцового ранга. Показывается, что формула блочного псевдообращения, лежащая в основе алгоритма, является обобщением одного шага алгоритма Гревиля псевдообращения в невырожденном случае и потому может быть использована для обобщения метода нахождения весов нейросетевой функции LSHDI (linear solutions to higher dimensional interlayer networks), основанного на алгоритме Гревиля. Представленный алгоритм на каждом этапе использует найденные на предыдущих этапах псевдообратные к блокам матрицы и, следовательно, позволяет сократить вычисления не только за счет работы с матрицами меньшего размера, но и за счет повторного использования уже найденной информации. Приводятся примеры применения алгоритма для восстановления искаженных работой фильтра (шума) одномерных сигналов и двумерных сигналов (изображений). Рассматриваются случаи, когда фильтр является статическим, но на практике встречаются ситуации, когда матрица фильтра меняется с течением времени. Описанный алгоритм позволяет непосредственно в процессе получения входного сигнала перестраивать псевдообратную матрицу с учетом изменения одного или нескольких блоков матрицы фильтра, и потому алгоритм может быть использован и в случае зависящих от времени параметров фильтра (шума). Кроме того, как показывают вычислительные эксперименты, формула блочного псевдообращения, на которой основан описываемый алгоритм, хорошо работает и в случае плохо обусловленных матриц, что часто встречается на практике The paper proposes an algorithm for sequential data processing based on block pseudoinverse of full column rank matrixes. It is shown that the block pseudoinverse formula underlying the algorithm is a generalization of one step of the Greville’s pseudoinverse algorithm in the nonsingular case and can also be used as a generalization for finding weights of neural network function in the LSHDI algorithm (linear solutions to higher dimensional interlayer networks). The presented algorithm uses the pseudoinversed matrixes found at each step, and therefore allows one to reduce the computations not only by working with matrixes of smaller size but also by reusing the already found information. Examples of application of the algorithm for signal and image reconstruction are given. The article deals with cases where noise is static but the algorithm is similarly well suited to dynamically changing noises, allowing one to process input data in blocks on the fly, depending on changes. The block pseudoreverse formula, on which the described algorithm is based, works well in the case of ill-conditioned matrixes, which is often encountered in practice

An alternative look at the linear regression model

An alternative look at the linear regression model is taken by proposing an original treatment of a full column rank model (design) matrix. In such a situation, the Moore–Penrose inverse of the matrix can be obtained by utilizing a particular formula which is applicable solely when a matrix to be inverted can be columnwise partitioned into two matrices of disjoint ranges. It turns out that this approach, besides simplifying derivations, provides a novel insight into some of the notions involved in the model and reduces computational costs needed to obtain sought estimators. The paper contains also a numerical example based on astronomical observations of the localization of Polaris, demonstrating usefulness of the proposed approach.

Sparse nonnegative tensor decomposition using proximal algorithm and inexact block coordinate descent scheme

Nonnegative tensor decomposition is a versatile tool for multiway data analysis, by which the extracted components are nonnegative and usually sparse. Nevertheless, the sparsity is only a side effect and cannot be explicitly controlled without additional regularization. In this paper, we investigated the nonnegative CANDECOMP/PARAFAC (NCP) decomposition with the sparse regularization item using $$l_1$$ l 1 -norm (sparse NCP). When high sparsity is imposed, the factor matrices will contain more zero components and will not be of full column rank. Thus, the sparse NCP is prone to rank deficiency, and the algorithms of sparse NCP may not converge. In this paper, we proposed a novel model of sparse NCP with the proximal algorithm. The subproblems in the new model are strongly convex in the block coordinate descent (BCD) framework. Therefore, the new sparse NCP provides a full column rank condition and guarantees to converge to a stationary point. In addition, we proposed an inexact BCD scheme for sparse NCP, where each subproblem is updated multiple times to speed up the computation. In order to prove the effectiveness and efficiency of the sparse NCP with the proximal algorithm, we employed two optimization algorithms to solve the model, including inexact alternating nonnegative quadratic programming and inexact hierarchical alternating least squares. We evaluated the proposed sparse NCP methods by experiments on synthetic, real-world, small-scale, and large-scale tensor data. The experimental results demonstrate that our proposed algorithms can efficiently impose sparsity on factor matrices, extract meaningful sparse components, and outperform state-of-the-art methods.

Approximated least-squares solutions of a generalized Sylvester-transpose matrix equation via gradient-descent iterative algorithm

This paper proposes an effective gradient-descent iterative algorithm for solving a generalized Sylvester-transpose equation with rectangular matrix coefficients. The algorithm is applicable for the equation and its interesting special cases when the associated matrix has full column-rank. The main idea of the algorithm is to have a minimum error at each iteration. The algorithm produces a sequence of approximated solutions converging to either the unique solution, or the unique least-squares solution when the problem has no solution. The convergence analysis points out that the algorithm converges fast for a small condition number of the associated matrix. Numerical examples demonstrate the efficiency and effectiveness of the algorithm compared to renowned and recent iterative methods.

Simultaneous Unknown Input and State Estimation for the Linear System with a Rank-Deficient Distribution Matrix

The classical recursive three-step filter can be used to estimate the state and unknown input when the system is affected by unknown input, but the recursive three-step filter cannot be applied when the unknown input distribution matrix is not of full column rank. In order to solve the above problem, this paper proposes two novel filters according to the linear minimum-variance unbiased estimation criterion. Firstly, while the unknown input distribution matrix in the output equation is not of full column rank, a novel recursive three-step filter with direct feedthrough was proposed. Then, a novel recursive three-step filter was developed when the unknown input distribution matrix in the system equation is not of full column rank. Finally, the specific recursive steps of the corresponding filters are summarized. And the simulation results show that the proposed filters can effectively estimate the system state and unknown input.

Implicit Hari–Zimmermann algorithm for the generalized SVD on the GPUs

A parallel, blocked, one-sided Hari–Zimmermann algorithm for the generalized singular value decomposition (GSVD) of a real or a complex matrix pair [Formula: see text] is here proposed, where F and G have the same number of columns, and are both of the full column rank. The algorithm targets either a single graphics processing unit (GPU), or a cluster of those, performs all non-trivial computation exclusively on the GPUs, requires the minimal amount of memory to be reasonably expected, scales acceptably with the increase of the number of GPUs available, and guarantees the reproducible, bitwise identical output of the runs repeated over the same input and with the same number of GPUs.

CONSIDERATIONS ON THE VALIDITY AND APPLICABILITY OF THE UEK METHOD

In Popławski and Kaczmarczyk (2013) a method referred to as UEK was presented and used as a tool in the analysis of sustainable rural development. The purpose of this paper is to demonstrate the methodological inappropriateness of that method. In the linear regression model, the matrix of explanatory variables can have either less than full or full column rank. While all regression parameters are non-estimable in the first case, the well-known and widely used ordinary least squares method can be applied in the second one.

Precise tracking of periodic trajectories for periodic systems

Stable inversion was an effective method to achieve precise trajectory tracking, for which the tracking problem of periodically time-varying systems was solved in the existing literature. However, iteration techniques were required to approach stable inversion, whose explicit formulas for this tracking problem cannot be obtained. To overcome this drawback, a special kind of stable inversion, named periodic inversion, for the periodic systems is proposed in this study. By means of the lifted technique, the tracking problem of the periodic systems is reformulated to be equivalent to that of lifted systems. In order to obtain precise tracking, the periodic inversion of the periodic systems or the lifted systems is proposed, and is analysed for the non-singular case and the singular case, each of which is further analysed for three cases: the full row rank case, the full column rank case and the rank-deficient case. Thus the periodic inversion of the periodic systems is computed. Accompanied with the optimal state transition method for the time-varying systems, precise trajectory tracking is achieved. The methodology is validated through simulations.

Beta Matrix and Common Factors in Stock Returns

We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which method would be appropriate for data with a large number of assets. Our simulation results indicate that a restricted version of Cragg and Donald’s (1997) Bayesian information criterion estimator is quite reliable for such data. We use this estimator to analyze some selected asset pricing models with U.S. stock returns. Our results indicate that the beta matrix from many models fails to have full column rank, suggesting that risk premiums in these models are underidentified.