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IEEE Transactions on Automatic Control, Vol.64, No.2, 448-463, 2019
QUARKS: Identification of Large-Scale Kronecker Vector-Autoregressive Models
In this paper, we address the identification of two-dimensional (2-D) spatial-temporal dynamical systems described by the Vector-AutoRegressive (VAR) form. The coefficient-matrices of the VAR model are parametrized as sums of Kronecker products. When the number of terms in the sum is small compared to the size of the matrices, such a Kronecker representation efficiently models large-scale VAR models. Estimating the coefficient matrices in least-squares sense gives rise to a bilinear estimation problem that is tackled using an Alternating Least Squares (ALS) algorithm. Regularization or parameter constraints on the coefficient-matrices allows to induce temporal network properties, such as stability, as well as spatial properties, such as sparsity or Toeplitz structure. Convergence of the regularized ALS is proved using fixed-point theory. A numerical example demonstrates the advantages of the new modeling paradigm. It leads to comparable variance of the prediction error with the unstructured least-squares estimation of VAR models. However, the number of parameters grows only linearly with respect to the number of nodes in the 2-D sensor network instead of quadratically in the case of fully unstructured coefficient-matrices.
Keywords:Alternating least squares (ALS);Kronecker product;large-scale networks;system identification;Vector AutoRegressive model (VAR)