Compressive Estimation of a Stochastic Process with Unknown Autocorrelation Function

In this paper, we study the prediction of a circularly symmetric zero-mean stationary Gaussian process from a window of observations consisting of finitely many samples. This is a prevalent problem in a wide range of applications in communication theory and signal processing. Due to stationarity, when the autocorrelation function or equivalently the power spectral density (PSD) of the process is available, the Minimum Mean Squared Error (MMSE) predictor is readily obtained. In particular, it is given by a linear operator that depends on autocorrelation of the process as well as the noise power in the observed samples. The prediction becomes, however, quite challenging when the PSD of the process is unknown. In this paper, we propose a blind predictor that does not require the a priori knowledge of the PSD of the process and compare its performance with that of an MMSE predictor that has a full knowledge of the PSD. To design such a blind predictor, we use the random spectral representation of a stationary Gaussian process. We apply the well-known atomic-norm minimization technique to the observed samples to obtain a discrete quantization of the underlying random spectrum, which we use to predict the process. Our simulation results show that this estimator has a good performance comparable with that of the MMSE estimator.Comment: 6 pages, 4 figures. Accepted for presentation in ISIT 2017, Aachen, German

An autoregressive (AR) model based stochastic unknown input realization and filtering technique

This paper studies the state estimation problem of linear discrete-time systems with stochastic unknown inputs. The unknown input is a wide-sense stationary process while no other prior informaton needs to be known. We propose an autoregressive (AR) model based unknown input realization technique which allows us to recover the input statistics from the output data by solving an appropriate least squares problem, then fit an AR model to the recovered input statistics and construct an innovations model of the unknown inputs using the eigensystem realization algorithm (ERA). An augmented state system is constructed and the standard Kalman filter is applied for state estimation. A reduced order model (ROM) filter is also introduced to reduce the computational cost of the Kalman filter. Two numerical examples are given to illustrate the procedure.Comment: 14 page

Polynomial-Chaos-based Kriging

Computer simulation has become the standard tool in many engineering fields for designing and optimizing systems, as well as for assessing their reliability. To cope with demanding analysis such as optimization and reliability, surrogate models (a.k.a meta-models) have been increasingly investigated in the last decade. Polynomial Chaos Expansions (PCE) and Kriging are two popular non-intrusive meta-modelling techniques. PCE surrogates the computational model with a series of orthonormal polynomials in the input variables where polynomials are chosen in coherency with the probability distributions of those input variables. On the other hand, Kriging assumes that the computer model behaves as a realization of a Gaussian random process whose parameters are estimated from the available computer runs, i.e. input vectors and response values. These two techniques have been developed more or less in parallel so far with little interaction between the researchers in the two fields. In this paper, PC-Kriging is derived as a new non-intrusive meta-modeling approach combining PCE and Kriging. A sparse set of orthonormal polynomials (PCE) approximates the global behavior of the computational model whereas Kriging manages the local variability of the model output. An adaptive algorithm similar to the least angle regression algorithm determines the optimal sparse set of polynomials. PC-Kriging is validated on various benchmark analytical functions which are easy to sample for reference results. From the numerical investigations it is concluded that PC-Kriging performs better than or at least as good as the two distinct meta-modeling techniques. A larger gain in accuracy is obtained when the experimental design has a limited size, which is an asset when dealing with demanding computational models

Matched Filtering from Limited Frequency Samples

In this paper, we study a simple correlation-based strategy for estimating the unknown delay and amplitude of a signal based on a small number of noisy, randomly chosen frequency-domain samples. We model the output of this "compressive matched filter" as a random process whose mean equals the scaled, shifted autocorrelation function of the template signal. Using tools from the theory of empirical processes, we prove that the expected maximum deviation of this process from its mean decreases sharply as the number of measurements increases, and we also derive a probabilistic tail bound on the maximum deviation. Putting all of this together, we bound the minimum number of measurements required to guarantee that the empirical maximum of this random process occurs sufficiently close to the true peak of its mean function. We conclude that for broad classes of signals, this compressive matched filter will successfully estimate the unknown delay (with high probability, and within a prescribed tolerance) using a number of random frequency-domain samples that scales inversely with the signal-to-noise ratio and only logarithmically in the in the observation bandwidth and the possible range of delays.Comment: Submitted to the IEEE Transactions on Information Theory on January 13, 201