Joint Inverse Covariances Estimation with Mutual Linear Structure

Ilya Soloveychik; Ami Wiesel

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arXiv · 1511.06462

Joint Inverse Covariances Estimation with Mutual Linear Structure

Ilya Soloveychik·Ami Wiesel

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Abstract

We consider the problem of joint estimation of structured inverse covariance matrices. We perform the estimation using groups of measurements with different covariances of the same unknown structure. Assuming the inverse covariances to span a low dimensional linear subspace in the space of symmetric matrices, our aim is to determine this structure. It is then utilized to improve the estimation of the inverse covariances. We propose a novel optimization algorithm discovering and exploiting the underlying structure and provide its efficient implementation. Numerical simulations are presented to illustrate the performance benefits of the proposed algorithm.

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BibTeX RIS

Ilya Soloveychik, Ami Wiesel. 2015-11-20. Joint Inverse Covariances Estimation with Mutual Linear Structure. https://arxiv.org/abs/1511.06462

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