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SAOFTRL: A Novel Adaptive Algorithmic Framework for Enhancing Online Portfolio Selection SAOFTRL:增强在线投资组合选择的新型自适应算法框架
IF 4.6 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-11 DOI: 10.1109/TSP.2024.3495696
Runhao Shi;Daniel P. Palomar
Strongly Adaptive meta-algorithms (SA-meta) are popular in online portfolio selection due to their resilience in adversarial environments and adaptability to market changes. However, their application is often limited by high variance in errors, stemming from calculations over small intervals with limited observations. To address this limitation, we introduce the Strongly Adaptive Optimistic Follow-the-Regularized-Leader (SAOFTRL), an advanced framework that integrates the Optimistic Follow-the-Regularized-Leader (OFTRL) strategy into SA-meta algorithms to stabilize performance. SAOFTRL is distinguished by its novel regret bound, which provides a theoretical guarantee of worst-case performance in challenging scenarios. Additionally, we reimagine SAOFTRL within a mean-variance portfolio (MVP) framework, enhanced with shrinkage estimators and adaptive rolling windows, thereby ensuring reliable average-case performance. For practical deployment, we present an efficient SAOFTRL implementation utilizing the Successive Convex Approximation (SCA) method. Empirical evaluations demonstrate SAOFTRL's superior performance and expedited convergence when compared to existing benchmarks, confirming its effectiveness and efficiency in dynamic market conditions.
强适应元算法(SA-meta)因其在对抗性环境中的弹性和对市场变化的适应性,在在线投资组合选择中很受欢迎。然而,它们的应用往往受到高误差方差的限制,而高误差方差是在观察有限的小区间内进行计算时产生的。为了解决这一局限性,我们引入了强适应性优化跟随-规则化-领导者(SAOFTRL),这是一种先进的框架,它将优化跟随-规则化-领导者(OFTRL)策略集成到 SA-meta 算法中,以稳定性能。SAOFTRL 的独特之处在于其新颖的遗憾约束,它为挑战性场景中的最坏情况性能提供了理论保证。此外,我们在均值-方差组合(MVP)框架内重新设想了 SAOFTRL,并用收缩估计器和自适应滚动窗口进行了增强,从而确保了可靠的平均性能。在实际部署中,我们利用后继凸近似法(SCA)提出了一种高效的 SAOFTRL 实现方法。实证评估表明,与现有基准相比,SAOFTRL 性能优越,收敛速度快,证实了其在动态市场条件下的有效性和效率。
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引用次数: 0
Variational Inference of Structured Line Spectra Exploiting Group-Sparsity 利用组稀疏性的结构线光谱变量推理
IF 5.4 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-07 DOI: 10.1109/tsp.2024.3493603
Jakob Möderl, Erik Leitinger, Franz Pernkopf, Klaus Witrisal
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引用次数: 0
Transmit Energy Focusing for Parameter Estimation in Slow-Time Transmit Beamspace L-Shaped MIMO Radar 慢时发射波束空间 L 型多输入多输出雷达参数估计的发射能量聚焦
IF 4.6 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-06 DOI: 10.1109/TSP.2024.3492692
Tingting Zhang;Sergiy A. Vorobyov;Feng Xu
We present a novel slow-time transmit beamspace (TB) multiple-input multiple-output (MIMO) technique for L-shaped array radar with uniform linear subarrays to estimate target parameters including 2-dimensional (2-D) directions of arrival (DOA) and unambiguous velocity. Doppler division multiple access (DDMA) approach, as a type of slow-time waveform achieving waveform orthogonality across multiple pulses within a coherent processing interval, disperses the transmit energy over the entire spatial region, suffering from beam-shape loss. Moreover, Doppler spectrum division, which is necessary for transmit channel separation prior to parameter estimation, leads to the loss of crucial information for velocity disambiguation. To optimize transmit energy distribution, slow-time TB technique is proposed to focus the energy within a desired spatial region. Unlike DDMA approach, slow-time TB technique divides the entire Doppler spectrum into more subbands than the number of transmit antenna elements to narrow down the beam mainlobe intervals between adjacent beams formed by DDMA modulation vectors. As a result, more beams are incorporated into the region of interest, and slow-time TB radar can direct transmit energy to the region of interest by properly selecting the DDMA modulation vectors whose beams are directed there. To resolve velocity ambiguity, tensor signal modeling, by storing measurements in a tensor without Doppler spectrum division, is used. Parameter estimation is then addressed using canonical polyadic decomposition (CPD), and the performance of slow-time TB L-shaped MIMO radar is shown to be improved as compared to DDMA MIMO techniques. Simulations are conducted to validate the proposed method.
我们为带有均匀线性子阵列的 L 形阵列雷达提出了一种新型慢时发射波束空间(TB)多输入多输出(MIMO)技术,用于估计目标参数,包括二维(2-D)到达方向(DOA)和明确的速度。多普勒频分多址(DDMA)方法作为一种慢时波形,可在一个相干处理间隔内通过多个脉冲实现波形正交,但会将发射能量分散到整个空间区域,从而造成波束形状损失。此外,多普勒频谱划分对于参数估计前的发射信道分离十分必要,但却会导致速度消歧的关键信息丢失。为了优化发射能量分布,提出了慢速 TB 技术,将能量集中在所需的空间区域内。与 DDMA 方法不同,慢时 TB 技术将整个多普勒频谱划分为比发射天线元件数量更多的子带,以缩小由 DDMA 调制矢量形成的相邻波束之间的波束主间隔。因此,更多波束被纳入感兴趣区域,慢时 TB 雷达可通过适当选择波束指向感兴趣区域的 DDMA 调制矢量,将发射能量导向感兴趣区域。为了解决速度模糊性问题,采用了张量信号建模,将测量数据存储在张量中,而不进行多普勒频谱划分。然后使用规范多义分解(CPD)进行参数估计,结果表明,与 DDMA MIMO 技术相比,慢时 TB L 型 MIMO 雷达的性能有所提高。仿真验证了所提出的方法。
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引用次数: 0
Polarization Diversity Detection and Localization of a Target With Energy Spillover 利用能量溢出对目标进行偏振分集探测和定位
IF 5.4 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-06 DOI: 10.1109/tsp.2024.3490844
Naixin Kang, Weijian Liu, Jun Liu, Chengpeng Hao, Xiaotao Huang, Zheran Shang
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引用次数: 0
Input Distribution Optimization in OFDM Dual-Function Radar-Communication Systems OFDMD 双功能雷达通信系统中的输入分配优化
IF 4.6 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-05 DOI: 10.1109/TSP.2024.3491899
Yumeng Zhang;Sundar Aditya;Bruno Clerckx
Orthogonal frequency division multiplexing (OFDM) has been widely adopted in dual-function radar-communication (DFRC) systems. However, with random communication symbols (CS) embedded in the DFRC waveform, the transmit signal has a random ambiguity function that affects the radar's delay-Doppler estimation performance, which has not been well explored. This paper addresses this gap by first characterizing the outlier probability (OP) – the probability of incorrectly estimating a target's (on-grid) delay-Doppler bin – in OFDM DFRC for any given CS realization. This subsequently motivates the OFDM DFRC waveform design problem of minimizing the OP w.r.t the CS probability distribution (i.e., the input distribution). Conditioned on the CSs, the OP only depends on the CS magnitudes. Hence, we consider the following two schemes for the above optimization: CSs with (1) constant magnitude input distribution (phase shift keying), and (2) variable magnitude input distribution (Gaussian). For (1), minimizing the OP reduces to the familiar power allocation design across OFDM's subcarriers and symbols, with uniform power allocation across OFDM subcarriers and a windowed power allocation across OFDM symbols being near-optimal. For (2), the mean and variance of the Gaussian distribution at each subcarrier is optimized, with an additional communication constraint to avoid the zero-variance solution where no CSs are carried. We observe that subcarriers with strong communication channels feature a large variance (favour communications) while the others are characterized by a large mean (favour radar). However, the overall power allocation (i.e., the sum of the squared mean and variance) across the OFDM subcarriers and symbols is similar to (1). Simulations for (2) show that while random CS magnitudes benefit communications, they degrade radar performance, but this can be mitigated using our optimized input distribution.
正交频分复用(OFDM)已被广泛应用于双功能雷达通信(DFRC)系统。然而,由于 DFRC 波形中嵌入了随机通信符号 (CS),发射信号具有随机模糊函数,这会影响雷达的延迟-多普勒估计性能,而这一问题尚未得到很好的探讨。本文首先描述了任何给定 CS 实现时 OFDM DFRC 的离群概率(OP)--错误估计目标(电网)延迟-多普勒分区的概率,从而弥补了这一空白。这就激发了 OFDM DFRC 波形设计问题,即在 CS 概率分布(即输入分布)下使 OP 最小化。以 CS 为条件,OP 仅取决于 CS 的大小。因此,我们考虑采用以下两种方案进行上述优化:CS 具有 (1) 恒定幅度输入分布(相移键控)和 (2) 可变幅度输入分布(高斯)。对于 (1),OP 的最小化简化为我们熟悉的 OFDM 子载波和符号间的功率分配设计,OFDM 子载波间的均匀功率分配和 OFDM 符号间的窗口功率分配接近最优。对于 (2),每个子载波上高斯分布的均值和方差都要进行优化,并附加一个通信约束条件,以避免出现不携带任何 CS 的零方差解决方案。我们发现,通信信道强的子载波方差大(有利于通信),而其他子载波的均值大(有利于雷达)。然而,OFDM 子载波和符号之间的总体功率分配(即均值和方差的平方和)与 (1) 类似。对(2)的仿真表明,虽然随机 CS 幅值有利于通信,但却会降低雷达性能,但使用我们优化的输入分布可以缓解这一问题。
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引用次数: 0
Compute-Update Federated Learning: A Lattice Coding Approach 计算-更新联合学习:网格编码方法
IF 4.6 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-05 DOI: 10.1109/TSP.2024.3491993
Seyed Mohammad Azimi-Abarghouyi;Lav R. Varshney
This paper introduces a federated learning framework that enables over-the-air computation via digital communications, using a new joint source-channel coding scheme. Without relying on channel state information at devices, this scheme employs lattice codes to both quantize model parameters and exploit interference from the devices. We propose a novel receiver structure at the server, designed to reliably decode an integer combination of the quantized model parameters as a lattice point for the purpose of aggregation. We present a mathematical approach to derive a convergence bound for the proposed scheme and offer design remarks. In this context, we suggest an aggregation metric and a corresponding algorithm to determine effective integer coefficients for the aggregation in each communication round. Our results illustrate that, regardless of channel dynamics and data heterogeneity, our scheme consistently delivers superior learning accuracy across various parameters and markedly surpasses other over-the-air methodologies.
本文介绍了一种联合学习框架,该框架利用新的源信道联合编码方案,通过数字通信实现空中计算。该方案不依赖设备上的信道状态信息,而是采用晶格编码对模型参数进行量化,并利用来自设备的干扰。我们提出了一种新颖的服务器接收器结构,旨在可靠地解码量化模型参数的整数组合,将其作为用于聚合的网格点。我们提出了一种数学方法来推导所提方案的收敛边界,并提供了设计说明。在此背景下,我们提出了一种聚合指标和相应的算法,以确定每轮通信中聚合的有效整数系数。我们的结果表明,无论信道动态和数据异构性如何,我们的方案都能在各种参数下始终提供卓越的学习准确性,并明显优于其他空中方法。
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引用次数: 0
Localized Distributional Robustness in Submodular Multi-Task Subset Selection 次模态多任务子集选择中的局部分布稳健性
IF 5.4 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-05 DOI: 10.1109/tsp.2024.3492165
Ege C. Kaya, Abolfazl Hashemi
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引用次数: 0
Observability Guaranteed Distributed Intelligent Sensing for Industrial Cyber-Physical System 工业网络物理系统的可观测性保证分布式智能传感
IF 4.6 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-04 DOI: 10.1109/TSP.2024.3490838
Zhiduo Ji;Cailian Chen;Xinping Guan
Distributed sensing is a key process for acquiring system state information in the network environments of industrial cyber-physical system (ICPS). Considering the unknown complex industrial system models, the intelligent methods for distributed sensing are received extensive attention. In most existing works, the system observability is assumed strictly first to obtain complete sensing information for subsequent state estimation. But with the expansion of industrial monitoring network scale, the observability requirement is increasingly difficult to be satisfied in advance. Therefore, a new distributed intelligent sensing method with guaranteed observability is proposed for ICPS in this paper. Specifically, a distributed learning mechanism based on field level data is designed to dynamically approximate the distributed sensing process. Then, the learning weight complete update condition is provided to actively guarantee the observability, and the novel convex-set construction approach is proposed to handle the non-convex property of this condition. Besides, the learning convergence speed and error bound are analyzed in detail. Finally, the proposed method is applied into the industrial hot rolling laminar cooling process based on the established simulation system. Compared with state-of-the-art methods in distributed intelligent sensing, the proposed method can actively reduce the sensing cost while improving the sensing performance with guaranteed observability. An average overall improvement of 24.1% in the normalized sensing performance and selection number of sensing terminals is achieved, which provides a solution for the upgrade of intelligent sensing of key processes in similar ICPS.
分布式传感是在工业网络物理系统(ICPS)的网络环境中获取系统状态信息的关键过程。考虑到未知的复杂工业系统模型,分布式传感的智能方法受到广泛关注。在现有的大多数研究中,首先要严格假设系统的可观测性,以获得完整的传感信息,用于后续的状态估计。但随着工业监测网络规模的扩大,可观测性要求越来越难以提前满足。因此,本文针对 ICPS 提出了一种新的具有可观测性保证的分布式智能传感方法。具体来说,本文设计了一种基于现场级数据的分布式学习机制,以动态逼近分布式传感过程。然后,提供了学习权重完全更新条件来主动保证可观测性,并提出了新颖的凸集构造方法来处理该条件的非凸特性。此外,还详细分析了学习收敛速度和误差约束。最后,基于已建立的仿真系统,将所提出的方法应用于工业热轧层流冷却过程。与最先进的分布式智能传感方法相比,所提出的方法能在保证可观测性的前提下,积极降低传感成本,同时提高传感性能。在归一化传感性能和传感终端选择数量上实现了平均 24.1% 的整体提升,为类似 ICPS 关键工序智能传感的升级提供了解决方案。
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引用次数: 0
Robust Stochastically-Descending Unrolled Networks 稳健的随机递减未展开网络
IF 5.4 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-04 DOI: 10.1109/tsp.2024.3489223
Samar Hadou, Navid NaderiAlizadeh, Alejandro Ribeiro
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引用次数: 0
One-Bit Target Detection in Colocated MIMO Radar With Colored Background Noise 带有彩色背景噪声的同地多输入多输出雷达中的一位目标检测
IF 4.6 2区 工程技术 Q1 ENGINEERING, ELECTRICAL & ELECTRONIC Pub Date : 2024-11-04 DOI: 10.1109/TSP.2024.3484582
Yu-Hang Xiao;David Ramírez;Lei Huang;Xiao Peng Li;Hing Cheung So
One-bit sampling has emerged as a promising technique in multiple-input multiple-output (MIMO) radar systems due to its ability to significantly reduce data volume, hardware complexity, and power consumption. Nevertheless, current detection methods have not adequately addressed the impact of colored noise, which is frequently encountered in real scenarios. In this paper, we present a novel detection method that accounts for colored noise in MIMO radar systems. Specifically, we derive Rao's test by computing the derivative of the likelihood function with respect to the target reflectivity parameter and the Fisher information matrix, resulting in a detector that takes the form of a weighted matched filter. To ensure constant false alarm rate (CFAR), we also consider noise covariance uncertainty and examine its effect on the probability of false alarm. The detection probability is also studied analytically. Simulation results demonstrate that the proposed detector provides considerable performance gains in the presence of colored noise.
在多输入多输出(MIMO)雷达系统中,单比特采样已成为一种很有前途的技术,因为它能显著减少数据量、硬件复杂性和功耗。然而,目前的检测方法还没有充分解决实际场景中经常遇到的彩色噪声的影响。在本文中,我们提出了一种在 MIMO 雷达系统中考虑彩色噪声的新型检测方法。具体来说,我们通过计算与目标反射率参数和费舍尔信息矩阵相关的似然函数导数来推导 Rao 检验,从而得到一种加权匹配滤波器形式的检测器。为了确保恒定的误报率(CFAR),我们还考虑了噪声协方差的不确定性,并研究了其对误报概率的影响。我们还对检测概率进行了分析研究。仿真结果表明,在存在彩色噪声的情况下,所提出的检测器能提供相当大的性能提升。
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引用次数: 0
期刊
IEEE Transactions on Signal Processing
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