Partially Linear Estimation with Application to Sparse Signal Recovery From Measurement Pairs

Details Partially Linear Estimation with Application to Sparse Signal Recovery From Measurement Pairs Partially Linear Estimation with Application to Sparse Signal Recovery From Measurement Pairs

2011-03-29

arxiv.org/abs/1103.5639v2

Computer Science

Information Theory

13 pages, 5 figures

Scientific paper

We address the problem of estimating a random vector X from two sets of measurements Y and Z, such that the estimator is linear in Y. We show that the partially linear minimum mean squared error (PLMMSE) estimator does not require knowing the joint distribution of X and Y in full, but rather only its second-order moments. This renders it of potential interest in various applications. We further show that the PLMMSE method is minimax-optimal among all estimators that solely depend on the second-order statistics of X and Y. We demonstrate our approach in the context of recovering a signal, which is sparse in a unitary dictionary, from noisy observations of it and of a filtered version of it. We show that in this setting PLMMSE estimation has a clear computational advantage, while its performance is comparable to state-of-the-art algorithms. We apply our approach both in static and dynamic estimation applications. In the former category, we treat the problem of image enhancement from blurred/noisy image pairs, where we show that PLMMSE estimation performs only slightly worse than state-of-the art algorithms, while running an order of magnitude faster. In the dynamic setting, we provide a recursive implementation of the estimator and demonstrate its utility in the context of tracking maneuvering targets from position and acceleration measurements.

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