arXiv subjects

Daniel P. Palomar

Publications and source records attributed to Daniel P. Palomar.

At least 55 records · Page 3Linked to original sources

arXiv2018

MIMO Transmit Beampattern Matching Under Waveform Constraints

In this paper, the multiple-input multiple-output (MIMO) transmit beampattern matching problem is considered. The problem is formulated to approximate a desired transmit beampattern (i.e., an energy distribution in space and frequency) and to minimize the cross-correlation of signals reflected back to the array by considering different practical waveform constraints at the same time. Due to the nonconvexity of the objective function and the waveform constraints, the optimization problem is highly nonconvex. An efficient one-step method is proposed to solve this problem based on the majorization-minimization (MM) method. The performance of the proposed algorithms compared to the state-of-art algorithms is shown through numerical simulations.

math.OC↗

arXiv2017

Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model

In econometrics and finance, the vector error correction model (VECM) is an important time series model for cointegration analysis, which is used to estimate the long-run equilibrium variable relationships. The traditional analysis and estimation methodologies assume the underlying Gaussian distribution but, in practice, heavy-tailed data and outliers can lead to the inapplicability of these methods. In this paper, we propose a robust model estimation method based on the Cauchy distribution to tackle this issue. In addition, sparse cointegration relations are considered to realize feature selection and dimension reduction. An efficient algorithm based on the majorization-minimization (MM) method is applied to solve the proposed nonconvex problem. The performance of this algorithm is shown through numerical simulations.

stat.ML↗

arXiv2017

Mean-Reverting Portfolio Design with Budget Constraint

This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio of underlying component assets by optimizing a mean-reversion criterion characterizing the mean-reversion strength, taking into consideration the variance of the portfolio and an investment budget constraint. Then several specific problems are considered based on the general formulation, and efficient algorithms are proposed. Numerical results on both synthetic and market data show that our proposed mean-reverting portfolio design methods can generate consistent profits and outperform the traditional design methods and the benchmark methods in the literature.

q-fin.PM↗

arXiv2016

Mean-Reverting Portfolio Design via Majorization-Minimization Method

This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. The problem is formulated by optimizing a criterion characterizing the mean-reversion strength of the portfolio and taking into consideration the variance of the portfolio and an investment budget constraint at the same time. An efficient algorithm based on the majorization-minimization (MM) method is proposed to solve the problem. Numerical results show that our proposed mean-reverting portfolio design method can significantly outperform every underlying single spread and the benchmark method in the literature.

q-fin.PM↗

arXiv2016

Effective Low-Complexity Optimization Methods for Joint Phase Noise and Channel Estimation in OFDM

Phase noise correction is crucial to exploit full advantage of orthogonal frequency division multiplexing (OFDM) in modern high-data-rate communications. OFDM channel estimation with simultaneous phase noise compensation has therefore drawn much attention and stimulated continuing efforts. Existing methods, however, either have not taken into account the fundamental properties of phase noise or are only able to provide estimates of limited applicability owing to considerable computational complexity. In this paper, we have reformulated the joint estimation problem in the time domain as opposed to existing frequency-domain approaches, which enables us to develop much more efficient algorithms using the majorization-minimization technique. In addition, we propose a method based on dimensionality reduction and the Bayesian Information Criterion (BIC) that can adapt to various phase noise levels and accomplish much lower mean squared error than the benchmarks without incurring much additional computational cost. Several numerical examples with phase noise generated by free-running oscillators or phase-locked loops demonstrate that our proposed algorithms outperform existing methods with respect to both computational efficiency and mean squared error within a large range of signal-to-noise ratios.

cs.IT↗

arXiv2016

Undersampled Phase Retrieval via Majorization-Minimization

In the undersampled phase retrieval problem, the goal is to recover an $N$-dimensional complex signal $\mathbf{x}$ from only $M<N$ noisy intensity measurements without phase information. This problem has drawn a lot of attention to reduce the number of required measurements since a recent theory established that $M\approx4N$ intensity measurements are necessary and sufficient to recover a generic signal $\mathbf{x}$. In this paper, we propose to exploit the sparsity in the original signal and develop low-complexity algorithms with superior performance based on the majorization-minimization (MM) framework. The proposed algorithms are preferred to existing benchmark methods since at each iteration a simple surrogate problem is solved with a closed-form solution that monotonically decreases the original objective function. Experimental results validate that our algorithms outperform existing up-to-date methods in terms of recovery probability and accuracy, under the same settings.

cs.IT↗

arXiv2016

Joint Optimization of Power and Data Transfer in Multiuser MIMO Systems

We present an approach to solve the nonconvex optimization problem that arises when designing the transmit covariance matrices in multiuser multiple-input multiple-output (MIMO) broadcast networks implementing simultaneous wireless information and power transfer (SWIPT). The MIMO SWIPT problem is formulated as a general multi-objective optimization problem, in which data rates and harvested powers are optimized simultaneously. Two different approaches are applied to reformulate the (nonconvex) multi-objective problem. In the first approach, the transmitter can control the specific amount of power to be harvested by power transfer whereas in the second approach the transmitter can only control the proportion of power to be harvested among the different harvesting users. The computational complexity will also be different, with higher computational resources required in the first approach. In order to solve the resulting formulations, we propose to use the majorization-minimization (MM) approach. The idea behind this approach is to obtain a convex function that approximates the nonconvex objective and, then, solve a series of convex subproblems that will converge to a locally optimal solution of the general nonconvex multi-objective problem. The solution obtained from the MM approach is compared to the classical block-diagonalization (BD) strategy, typically used to solve the nonconvex multiuser MIMO network by forcing no interference among users. Simulation results show that the proposed approach improves over the BD approach both the system sum rate and the power harvested by users. Additionally, the computational times needed for convergence of the proposed methods are much lower than the ones required for classical gradient-based approaches.

cs.IT↗

arXiv2016

Design of PAR-Constrained Sequences for MIMO Channel Estimation via Majorization-Minimization

PAR-constrained sequences are widely used in communication systems and radars due to various practical needs; specifically, sequences are required to be unimodular or of low peak-to-average power ratio (PAR). For unimodular sequence design, plenty of efforts have been devoted to obtaining good correlation properties. Regarding channel estimation, however, sequences of such properties do not necessarily help produce optimal estimates. Tailored unimodular sequences for the specific criterion concerned are desirable especially when the prior knowledge of the channel is taken into account as well. In this paper, we formulate the problem of optimal unimodular sequence design for minimum mean square error estimation of the channel impulse response and conditional mutual information maximization, respectively. Efficient algorithms based on the majorization-minimization framework are proposed for both problems with guaranteed convergence. As the unimodular constraint is a special case of the low PAR constraint, optimal sequences of low PAR are also considered. Numerical examples are provided to show the performance of the proposed training sequences, with the efficiency of the derived algorithms demonstrated.

math.OC↗

arXiv2016

Orthogonal Sparse PCA and Covariance Estimation via Procrustes Reformulation

The problem of estimating sparse eigenvectors of a symmetric matrix attracts a lot of attention in many applications, especially those with high dimensional data set. While classical eigenvectors can be obtained as the solution of a maximization problem, existing approaches formulate this problem by adding a penalty term into the objective function that encourages a sparse solution. However, the resulting methods achieve sparsity at the expense of sacrificing the orthogonality property. In this paper, we develop a new method to estimate dominant sparse eigenvectors without trading off their orthogonality. The problem is highly non-convex and hard to handle. We apply the MM framework where we iteratively maximize a tight lower bound (surrogate function) of the objective function over the Stiefel manifold. The inner maximization problem turns out to be a rectangular Procrustes problem, which has a closed form solution. In addition, we propose a method to improve the covariance estimation problem when its underlying eigenvectors are known to be sparse. We use the eigenvalue decomposition of the covariance matrix to formulate an optimization problem where we impose sparsity on the corresponding eigenvectors. Numerical experiments show that the proposed eigenvector extraction algorithm matches or outperforms existing algorithms in terms of support recovery and explained variance, while the covariance estimation algorithms improve significantly the sample covariance estimator.

stat.ML↗

arXiv2015

PRIME: Phase Retrieval via Majorization-Minimization

This paper considers the phase retrieval problem in which measurements consist of only the magnitude of several linear measurements of the unknown, e.g., spectral components of a time sequence. We develop low-complexity algorithms with superior performance based on the majorization-minimization (MM) framework. The proposed algorithms are referred to as PRIME: Phase Retrieval vIa the Majorization-minimization techniquE. They are preferred to existing benchmark methods since at each iteration a simple surrogate problem is solved with a closed-form solution that monotonically decreases the original objective function. In total, four algorithms are proposed using different majorization-minimization techniques. Experimental results validate that our algorithms outperform existing methods in terms of successful recovery and mean square error under various settings.

cs.IT↗

arXiv2015

Sequence Set Design With Good Correlation Properties via Majorization-Minimization

Sets of sequences with good correlation properties are desired in many active sensing and communication systems, e.g., multiple-input-multiple-output (MIMO) radar systems and code-division multiple-access (CDMA) cellular systems. In this paper, we consider the problems of designing complementary sets of sequences (CSS) and also sequence sets with both good auto- and cross-correlation properties. Algorithms based on the general majorization-minimization method are developed to tackle the optimization problems arising from the sequence set design problems. All the proposed algorithms can be implemented by means of the fast Fourier transform (FFT) and thus are computationally efficient and capable of designing sets of very long sequences. A number of numerical examples are provided to demonstrate the performance of the proposed algorithms.

math.OC↗

arXiv2015

Robust Estimation of Structured Covariance Matrix for Heavy-Tailed Elliptical Distributions

This paper considers the problem of robustly estimating a structured covariance matrix with an elliptical underlying distribution with known mean. In applications where the covariance matrix naturally possesses a certain structure, taking the prior structure information into account in the estimation procedure is beneficial to improve the estimation accuracy. We propose incorporating the prior structure information into Tyler's M-estimator and formulate the problem as minimizing the cost function of Tyler's estimator under the prior structural constraint. First, the estimation under a general convex structural constraint is introduced with an efficient algorithm for finding the estimator derived based on the majorization minimization (MM) algorithm framework. Then, the algorithm is tailored to several special structures that enjoy a wide range of applications in signal processing related fields, namely, sum of rank-one matrices, Toeplitz, and banded Toeplitz structure. In addition, two types of non-convex structures, i.e., the Kronecker structure and the spiked covariance structure, are also discussed, where it is shown that simple algorithms can be derived under the guidelines of MM. Numerical results show that the proposed estimator achieves a smaller estimation error than the benchmark estimators at a lower computational cost.

stat.AP↗

arXiv2015

Sequence Design to Minimize the Weighted Integrated and Peak Sidelobe Levels

Sequences with low aperiodic autocorrelation sidelobes are well known to have extensive applications in active sensing and communication systems. In this paper, we consider the problem of minimizing the weighted integrated sidelobe level (WISL), which can be used to design sequences with impulse-like autocorrelation and zero (or low) correlation zone. Two algorithms based on the general majorization-minimization method are developed to tackle the WISL minimization problem and the convergence to a stationary point is guaranteed. In addition, the proposed algorithms can be implemented via fast Fourier transform (FFT) operations and thus are computationally efficient, and an acceleration scheme has been considered to further accelerate the algorithms. Moreover, the proposed methods are extended to optimize the $\ell_{p}$-norm of the autocorrelation sidelobes, which lead to a way to minimize the peak sidelobe level (PSL) criterion. Numerical experiments show that the proposed algorithms can efficiently generate sequences with virtually zero autocorrelation sidelobes in a specified lag interval and can also produce very long sequences with much smaller PSL compared with some well known analytical sequences.

math.OC↗

arXiv2015

An Online Parallel and Distributed Algorithm for Recursive Estimation of Sparse Signals

In this paper, we consider a recursive estimation problem for linear regression where the signal to be estimated admits a sparse representation and measurement samples are only sequentially available. We propose a convergent parallel estimation scheme that consists in solving a sequence of $\ell_{1}$-regularized least-square problems approximately. The proposed scheme is novel in three aspects: i) all elements of the unknown vector variable are updated in parallel at each time instance, and convergence speed is much faster than state-of-the-art schemes which update the elements sequentially; ii) both the update direction and stepsize of each element have simple closed-form expressions, so the algorithm is suitable for online (real-time) implementation; and iii) the stepsize is designed to accelerate the convergence but it does not suffer from the common trouble of parameter tuning in literature. Both centralized and distributed implementation schemes are discussed. The attractive features of the proposed algorithm are also numerically consolidated.

math.OC↗

arXiv2014

Optimization Methods for Designing Sequences with Low Autocorrelation Sidelobes

Unimodular sequences with low autocorrelations are desired in many applications, especially in the area of radar and code-division multiple access (CDMA). In this paper, we propose a new algorithm to design unimodular sequences with low integrated sidelobe level (ISL), which is a widely used measure of the goodness of a sequence's correlation property. The algorithm falls into the general framework of majorization-minimization (MM) algorithms and thus shares the monotonic property of such algorithms. In addition, the algorithm can be implemented via fast Fourier transform (FFT) operations and thus is computationally efficient. Furthermore, after some modifications the algorithm can be adapted to incorporate spectral constraints, which makes the design more flexible. Numerical experiments show that the proposed algorithms outperform existing algorithms in terms of both the quality of designed sequences and the computational complexity.

math.OC↗

arXiv2014

Sparse Generalized Eigenvalue Problem via Smooth Optimization

In this paper, we consider an $\ell_{0}$-norm penalized formulation of the generalized eigenvalue problem (GEP), aimed at extracting the leading sparse generalized eigenvector of a matrix pair. The formulation involves maximization of a discontinuous nonconcave objective function over a nonconvex constraint set, and is therefore computationally intractable. To tackle the problem, we first approximate the $\ell_{0}$-norm by a continuous surrogate function. Then an algorithm is developed via iteratively majorizing the surrogate function by a quadratic separable function, which at each iteration reduces to a regular generalized eigenvalue problem. A preconditioned steepest ascent algorithm for finding the leading generalized eigenvector is provided. A systematic way based on smoothing is proposed to deal with the "singularity issue" that arises when a quadratic function is used to majorize the nondifferentiable surrogate function. For sparse GEPs with special structure, algorithms that admit a closed-form solution at every iteration are derived. Numerical experiments show that the proposed algorithms match or outperform existing algorithms in terms of computational complexity and support recovery.

stat.ML↗

arXiv2014

A Parallel Stochastic Approximation Method for Nonconvex Multi-Agent Optimization Problems

Consider the problem of minimizing the expected value of a (possibly nonconvex) cost function parameterized by a random (vector) variable, when the expectation cannot be computed accurately (e.g., because the statistics of the random variables are unknown and/or the computational complexity is prohibitive). Classical sample stochastic gradient methods for solving this problem may empirically suffer from slow convergence. In this paper, we propose for the first time a stochastic parallel Successive Convex Approximation-based (best-response) algorithmic framework for general nonconvex stochastic sum-utility optimization problems, which arise naturally in the design of multi-agent systems. The proposed novel decomposition enables all users to update their optimization variables in parallel by solving a sequence of strongly convex subproblems, one for each user. Almost surely convergence to stationary points is proved. We then customize our algorithmic framework to solve the stochastic sum rate maximization problem over Single-Input-Single-Output (SISO) frequency-selective interference channels, multiple-input-multiple-output (MIMO) interference channels, and MIMO multiple-access channels. Numerical results show that our algorithms are much faster than state-of-the-art stochastic gradient schemes while achieving the same (or better) sum-rates.

cs.MA↗

arXiv2014

Convex separable problems with linear and box constraints in signal processing and communications

In this work, we focus on separable convex optimization problems with box constraints and a set of triangular linear constraints. The solution is given in closed-form as a function of some Lagrange multipliers that can be computed through an iterative procedure in a finite number of steps. Graphical interpretations are given casting valuable insights into the proposed algorithm and allowing to retain some of the intuition spelled out by the water-filling policy. It turns out that it is not only general enough to compute the solution to different instances of the problem at hand but also remarkably simple in the way it operates. We also show how some power allocation problems in signal processing and communications can be solved with the proposed algorithm.

cs.IT↗