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arXiv · 1703.09351

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

Huong Ha·James S. Welsh·Cristian R. Rojas·Bo Wahlberg
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Abstract

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 for the traditional SPARSEVA problem. Numerical results are used to illustrate the effectiveness of the suggested bound.

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Huong Ha, James S. Welsh, Cristian R. Rojas, Bo Wahlberg. 2018-07-20. An analysis of the SPARSEVA estimate for the finite sample data case. https://doi.org/10.1016/j.automatica.2018.06.046

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