QUARKS: Identification of large-scale Kronecker Vector-AutoRegressive models (1609.07518v3)

Abstract: In this paper we propose a Kronecker-based modeling for identifying the spatial-temporal dynamics of large sensor arrays. The class of Kronecker networks is defined for which we formulate a Vector Autoregressive model. Its coefficient-matrices are decomposed into a sum of Kronecker products. For a two-dimensional array of size $N \times N$, and when the number of terms in the sum is small compared to $N$, exploiting the Kronecker structure leads to high data compression. We propose an Alternating Least Squares algorithm to identify the coefficient matrices with $\mathcal{O}(N^3N_t)$, where $N_t$ is the number of temporal samples, instead of $\mathcal{O}(N^6)$ in the unstructured case. This framework moreover allows for a convenient integration of more structure (e.g sparse, banded, Toeplitz) on the factor matrices. Numerical examples on atmospheric turbulence data has shown comparable performances with the unstructured least-squares estimation while the number of parameters is growing only linearly w.r.t. the number of nodes instead of quadratically in the full unstructured matrix case.