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Efficient Parallel Computation of the Stochastic MV-PURE Estimator by the Hybrid Steepest Descent Method

  • Tomasz Piotrowski
  • Isao Yamada
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7268)

Abstract

In this paper we consider the problem of efficient computation of the stochastic MV-PURE estimator which is a reduced-rank estimator designed for robust linear estimation in ill-conditioned inverse problems. Our motivation for this result stems from the fact that the reduced-rank estimation by the stochastic MV-PURE estimator, while avoiding the problem of regularization parameter selection appearing in a common regularization technique used in inverse problems and machine learning, presents computational challenge due to nonconvexity induced by the rank constraint. To combat this problem, we propose a recursive scheme for computation of the general form of the stochastic MV-PURE estimator which does not require any matrix inversion and utilize the inherently parallel hybrid steepest descent method. We verify efficiency of the proposed scheme in numerical simulations.

Keywords

stochastic MV-PURE estimator reduced-rank approach parallel processing subspace extraction hybrid steepest descent method 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Tomasz Piotrowski
    • 1
  • Isao Yamada
    • 2
  1. 1.Dept. of InformaticsNicolaus Copernicus UniversityToruǹPoland
  2. 2.Dept. of Communications and Integrated SystemsTokyo Institute of TechnologyTokyoJapan

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