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EnglishTime-varying systems are a challenge in many scientific and engineering areas. Usually, estimation of time-varying parameters or signals must be performed online, which calls for the development of responsive online algorithms. In this paper, we consider this problem in the context of the sparse optimization; specifically, we consider the Elastic-net model. Following the rationale in [1], we propose a novel online algorithm and we theoretically prove that it is successful in terms of dynamic regret. We then show an application to recursive identification of time-varying autoregressive models, in the case when the number of parameters to be estimated is unknown. Numerical results show the practical efficiency of the proposed method.
Online Optimization in Dynamic Environments: A Regret Analysis for Sparse Problems / Fosson, Sophie M.. - (2018), pp. 7225-7230. ((Intervento presentato al convegno IEEE CONFERENCE ON DECISION AND CONTROL (CDC) tenutosi a Miami, FL, USA nel Dicembre 2018.
| Titolo: | Online Optimization in Dynamic Environments: A Regret Analysis for Sparse Problems |
| Autori: | |
| Data di pubblicazione: | 2018 |
| Abstract: | Time-varying systems are a challenge in many scientific and engineering areas. Usually, estimatio...n of time-varying parameters or signals must be performed online, which calls for the development of responsive online algorithms. In this paper, we consider this problem in the context of the sparse optimization; specifically, we consider the Elastic-net model. Following the rationale in [1], we propose a novel online algorithm and we theoretically prove that it is successful in terms of dynamic regret. We then show an application to recursive identification of time-varying autoregressive models, in the case when the number of parameters to be estimated is unknown. Numerical results show the practical efficiency of the proposed method. |
| ISBN: | 978-1-5386-1395-5 |
| Appare nelle tipologie: | 4.1 Contributo in Atti di convegno |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| cdc2018.pdf | Articolo | 2. Post-print / Author's Accepted Manuscript | PUBBLICO - Tutti i diritti riservati | Visibile a tuttiVisualizza/Apri |
http://hdl.handle.net/11583/2729891
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