Hyperparameter-free sparse regression of grouped variables

• In this paper, we introduce a novel framework for semi-parametric estimation of an unknown number of signals, each parametrized by a group of components. Via a reformulation of the covariance fitting criteria, we formulate a convex optimization problem over a grid of candidate representations, promoting solutions with only a few active groups. Utilizing the covariance fitting allows for a hyperparameter-free estimation procedure, highly robust against coherency between candidates, while still allowing for a computationally efficient implementation. Numerical simulations illustrate how the proposed method offers a performance similar to the group-LASSO for incoherent dictionaries, and superior performance for coherent dictionaries.

Subject headings

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)

Keyword

convex optimization

covariance fitting

group sparsity

multi-pitch estimation

Publication and Content Type

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