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Controlled Complete ARMA Independent Process Analysis

Szabo, Z; Lőrincz, A; (2009) Controlled Complete ARMA Independent Process Analysis. In: IJCNN 2009. International Joint Conference on Neural Networks, 2009. (3038 - 3045). IEEE Green open access

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Abstract

In this paper we address the controlled complete AutoRegressive Moving Average Independent Process Analysis (ARMAX-IPA; X-exogenous input or control) problem, which is a generalization of the Blind SubSpace Deconvolution (BSSD) task. Compared to our previous work that dealt with the undercomplete situation, (i) here we extend the theory to complete systems, (ii) allow an autoregressive part to be present, (iii) and include exogenous control. We investigate the case when the observed signal is a linear mixture of independent multidimensional ARMA processes that can be controlled. Our objective is to estimate the ARMA processes, their driving noises as well as the mixing. We aim efficient estimation by choosing suitable control values. For the optimal choice of the control we adapt the D-optimality principle, also known as the `InfoMax method'. We solve the problem by reducing it to a fully observable D-optimal ARX task and Independent Subspace Analysis (ISA) that we can solve. Numerical examples illustrate the efficiency of the proposed method.

Type: Book chapter
Title: Controlled Complete ARMA Independent Process Analysis
Event: International Joint Conference on Neural Networks (IJCNN)
Location: Atlanta, Georgia, USA
Dates: 2009-06-14 - 2009-06-19
ISBN-13: 978-1-4244-3548-7
Open access status: An open access version is available from UCL Discovery
DOI: 10.1109/IJCNN.2009.5178797
Publisher version: http://dx.doi.org/10.1109/IJCNN.2009.5178797
Language: English
Additional information: This is the author's accepted version of this published article. © 2009 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences
UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Life Sciences
URI: https://discovery.ucl.ac.uk/id/eprint/1433163
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