Toeplitz Matrix Based Sparse Error Correction in System Identification:
  Outliers and Random Noises

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Abstract

In this paper, we consider robust system identification under sparse outliers and random noises. In our problem, system parameters are observed through a Toeplitz matrix. All observations are subject to random noises and a few are corrupted with outliers. We reduce this problem of system identification to a sparse error correcting problem using a Toeplitz structured real-numbered coding matrix. We prove the performance guarantee of Toeplitz structured matrix in sparse error correction. Thresholds on the percentage of correctable errors for Toeplitz structured matrices are also established. When both outliers and observation noise are present, we have shown that the estimation error goes to 0 asymptotically as long as the probability density function for observation noise is not "vanishing" around 0.

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Neighborliness of randomly projected simplices in high dimensions.

David Donoho, Jared Tanner (2005)

Let A be a d x n matrix and T = T(n-1) be the standard simplex in Rn. Suppose that d and n are both large and comparable: d approximately deltan, delta in (0, 1). We count the faces of the projected simplex AT when the projector A is chosen uniformly at random from the Grassmann manifold of d-dimensional orthoprojectors of Rn. We derive rhoN(delta) > 0 with the property that, for any rho or = f(k)(T)(1-epsilon). Vershik and Sporyshev previously showed existence of a threshold rhoVS(delta) > 0 at which phase transition occurs in k/d. We compute and display rhoVS and compare with rhoN. Corollaries are as follows. (1) The convex hull of n Gaussian samples in Rd, with n large and proportional to d, has the same k-skeleton as the (n-1) simplex, for k < rhoN (d/n)d(1 + oP(1)). (2) There is a "phase transition" in the ability of linear programming to find the sparsest nonnegative solution to systems of underdetermined linear equations. For most systems having a solution with fewer than rhoVS(d/n)d(1 + o(1)) nonzeros, linear programming will find that solution.