An analysis of the SPARSEVA estimate for the finite sample data case

• Autores: Huong Ha--, J.S. Welsh, Cristian R. Rojas, Bo Wahlberg
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Nº. 96, 2018, págs. 141-149
• Idioma: inglés
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• Resumen

  • In this paper, we develop an upper bound for the SPARSEVA (SPARSe Estimation based on a VAlidation criterion) estimation error in a general scheme, i.e., when the cost function is strongly convex and the regularized norm is decomposable for a pair of subspaces. We show how this general bound can be applied to a sparse regression problem to obtain an upper bound of the estimation error for the traditional l1 SPARSEVA problem. Numerical results are used to illustrate the effectiveness of the suggested bound.