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Reduced-rank adaptive processing (RRAP) has received considerable attention in recent years. One of the key problems with this technique is how to determine an appropriate dimension for the reduced-rank subspace. In this paper we study in detail four types of rank selection methods for the widely used RRAP approach-multistage Wiener filter (MWF). All of these methods have a computational complexity of order O(1), compared with other existing methods with an order of O(i) or even O(i 2 ) at the ith stage of the MWF. The main idea underlying these methods is to find a recursive algorithm to calculate the stopping criterion. The first two algorithms, based on the generalized discrepancy principle (GDP) and error estimation (EE) respectively, are fast versions of existing approaches. The last two algorithms, based on fast Ritz values estimation (RVE) and new information (NI) respectively, are new and proposed in this paper. In addition to requiring less computation, simulation results show that the proposed algorithms have a higher accuracy in adaptive beamforming applications for both narrowband and broadband signals.

In this paper, we investigate a frequency domain approach for eigenvalue-based detection of a primary user, based on equal gain combining (EGC) and spectrum estimation with Bartlett’s method. This paper considers two techniques for eigenvalue detection which are Maximum Eigenvalue Detection (MED) and the Maximum-Minimum Eigenvalue (MME) detector. We exploit the eigenvalues that are associated with the Hermitian form representation of Bartlett’s estimate to assess the performance of the aforementioned eigenvalue techniques in the frequency domain. For each case, we quantify the performance based on the probabilities of false alarm and missed detection over Rayleigh and Rician fading. A bivariate Mellin transform approach is employed to obtain the probability distribution function for the ratio of the extreme eigenvalues under each hypothesis. All obtained formulas are validated via Monte-Carlo simulations, and the results give a clear insight into the performance of the investigated methods. In frequency domain, MED outperforms both the MME detector and Periodogram-based energy detection even in a worst case scenario of noise uncertainty, while the MME detector exhibits heavy-tailed statistical characteristics and thus its receiver operating characteristics tend to stay on the line of no-discrimination. The performance of MED is further enhanced by careful choice of combinations of the total length of the sensing frame and number of sub-slots.

Modern information processing relies on the axiom that high-dimensional data lie near low-dimensional geometric structures. This paper revisits the problem of data-driven learning of these geometric structures and puts forth two new nonlinear geometric models for data describing "related" objects/phenomena. The first one of these models straddles the two extremes of the subspace model and the union-of-subspaces model, and is termed the metric-constrained union-of-subspaces (MC-UoS) model. The second one of these models---suited for data drawn from a mixture of nonlinear manifolds---generalizes the kernel subspace model, and is termed the metric-constrained kernel union-of-subspaces (MC-KUoS) model. The main contributions of this paper in this regard include the following. First, it motivates and formalizes the problems of MC-UoS and MC-KUoS learning. Second, it presents algorithms that efficiently learn an MC-UoS or an MC-KUoS underlying data of interest. Third, it extends these algorithms to the case when parts of the data are missing. Last, but not least, it reports the outcomes of a series of numerical experiments involving both synthetic and real data that demonstrate the superiority of the proposed geometric models and learning algorithms over existing approaches in the literature. These experiments also help clarify the connections between this work and the literature on (subspace and kernel k-means) clustering., Extended version of the journal paper accepted for publication in IEEE Trans. Signal Processing (20 pages, 7 figures, 4 tables)

How accurately can one estimate a random parameter subject to unknown deterministic nuisance parameters? The hybrid Cramer-Rao bound (HCRB) provides an answer to this question for a restricted class of estimators. The HCRB is the most popular performance bound on the mean-square-error (MSE) for random parameter estimation problems which involve deterministic parameters. The HCRB is useful when one is interested in both the random and the deterministic parameters and in the coupling between their estimation errors. This bound refers to locally weak-sense unbiased estimators with respect to (w.r.t.) the deterministic parameters. However, if these parameters are nuisance, it is unnecessary to restrict their estimation as unbiased. This paper is the first of a two-part study of Bayesian parameter estimation in the presence of deterministic nuisance parameters. It begins with a study on order relations between existing Cramer-Rao (CR)-type bounds of mean-unbiased Bayesian estimators. Then, a new CR-type bound is developed with no assumption of unbiasedness on the nuisance parameters. Alternatively, Lehmann’s concept of unbiasedness is employed rather than conventional mean-unbiasedness. It is imposed on a risk that measures the distance between the estimator and the minimum MSE (MMSE) estimator which assumes perfect knowledge of the nuisance parameters. In the succeeding paper, asymptotic performances of some Bayesian estimators with maximum likelihood based estimates for the nuisance parameters are investigated. The proposed risk-unbiased bound (RUB) is proved to be asymptotically achieved by the MMSE estimator with maximum likelihood estimates for the nuisance parameters, while the existing CR-type bounds are not necessarily achievable.

One of the fundamental issues of estimation theory is the presence of deterministic nuisance parameters. While in the Bayesian paradigm the model parameters are random, introduction of deterministic nuisance parameters into the model exceeds the Bayesian framework to the hybrid framework. In this type of scenarios, the conventional Bayesian estimators are not valid, as they assume knowledge of the deterministic nuisance parameters. This paper is the second of a two-part study of Bayesian parameter estimation in the presence of deterministic nuisance parameters. In part I, a new Cramer–Rao (CR)-type bound on the mean-square-error (MSE) for Bayesian estimation in the presence of deterministic nuisance parameters was established based on the concept of risk-unbiasedness. The proposed bound was named risk-unbiased bound (RUB). This paper presents properties of asymptotic uniform mean- and risk-unbiasedness of some Bayesian estimators: 1) the minimum MSE (MMSE) or maximum a posteriori probability (MAP) estimators with maximum likelihood (ML) estimates substituting the deterministic parameters, named MS-ML and MAP-ML, respectively, and 2) joint MAP and ML estimator, named JMAP-ML. Furthermore, an asymptotic performance analysis of the MS-ML and MAP-ML estimators is presented. These estimators are shown to asymptotically achieve the RUB, while the existing CR-type bounds can be achieved only in distinct cases. Simulations verify these results for the problem of blind separation of nonstationary sources. It is shown that unlike existing CR-type bounds, the RUB is asymptotically tight.

This paper proposes a decentralized algorithm for solving a consensus optimization problem defined in a static networked multi-agent system, where the local objective functions have the smooth+nonsmooth composite form. Examples of such problems include decentralized constrained quadratic programming and compressed sensing problems, as well as many regularization problems arising in inverse problems, signal processing, and machine learning, which have decentralized applications. This paper addresses the need for efficient decentralized algorithms that take advantages of proximal operations for the nonsmooth terms. We propose a proximal gradient exact first-order algorithm (PG-EXTRA) that utilizes the composite structure and has the best known convergence rate. It is a nontrivial extension to the recent algorithm EXTRA. At each iteration, each agent locally computes a gradient of the smooth part of its objective and a proximal map of the nonsmooth part, as well as exchanges information with its neighbors. The algorithm is “exact” in the sense that an exact consensus minimizer can be obtained with a fixed step size, whereas most previous methods must use diminishing step sizes. When the smooth part has Lipschitz gradients, PG-EXTRA has an ergodic convergence rate of $O\left({1\over k}\right)$ in terms of the first-order optimality residual. When the smooth part vanishes, PG-EXTRA reduces to P-EXTRA, an algorithm without the gradients (so no “G” in the name), which has a slightly improved convergence rate at $o\left({1\over k}\right)$ in a standard (non-ergodic) sense. Numerical experiments demonstrate effectiveness of PG-EXTRA and validate our convergence results

In compressive sensing (CS), the restricted isometry property (RIP) is an important condition on measurement matrices which guarantees the recovery of sparse signals with undersampled measurements. It has been proved in the prior works that both random (e.g., i.i.d. Gaussian, Bernoulli, $\ldots$ ) and Toeplitz matrices satisfy the RIP with high probability. However, structured matrices, such as banded Toeplitz matrices have drawn more attention since their structures have the advantage of fast matrix multiplication which may decrease the computational complexity of recovery algorithms. In this paper, we show that banded block Toeplitz matrices satisfy the RIP condition with high probability. Banded block Toeplitz matrices can be used in the sparse multi-channel source separation. The banded block Toeplitz matrices decrease the computational complexity while they have fewer number of non-zero entries in comparison to the same dimensional banded Toeplitz matrices. Furthermore, our simulation results show that banded block Toeplitz matrices outperform banded Toeplitz matrices in signal estimation. The analytical RIP bound for banded block Toeplitz matrices is provided in this paper and the RIP bound of sparse Gaussian matrices is also obtained as an upper bound for banded block Toeplitz matrices. Our simulation and analytical results show that sparse Gaussian random matrices do satisfy the RIP condition with high probability. The probability of satisfying the RIP depends on the probability of zero entries.

This paper proposes a new framework for the design of transmit and receive beamformers for interference alignment (IA) without symbol extensions in multi-antenna cellular networks. We consider IA in a $G$ cell network with $K$ users/cell, $N$ antennas at each base station (BS) and $M$ antennas at each user. The proposed framework is developed by recasting the conditions for IA as two sets of rank constraints, one on the rank of interference matrices, and the other on the transmit beamformers in the uplink. The interference matrix consists of all the interfering vectors received at a BS from the out-of-cell users in the uplink. Using these conditions and the crucial observation that the rank of interference matrices under alignment can be determined beforehand, this paper develops two sets of algorithms for IA. The first part of this paper develops rank minimization algorithms for IA by iteratively minimizing a weighted matrix norm of the interference matrix. Different choices of matrix norms lead to reweighted nuclear norm minimization (RNNM) or reweighted Frobenius norm minimization (RFNM) algorithms with significantly different per-iteration complexities. Alternately, the second part of this paper devises an alternating minimization (AM) algorithm where the rank-deficient interference matrices are expressed as a product of two lower-dimensional matrices that are then alternately optimized. Simulation results indicate that RNNM, which has a per-iteration complexity of a semidefinite program, is effective in designing aligned beamformers for proper-feasible systems with or without redundant antennas, while RFNM and AM, which have a per-iteration complexity of a quadratic program, are better suited for systems with redundant antennas.

This paper is concerned with Gaussian approximations to the posterior probability density function (PDF) in the update step of Bayesian filtering with nonlinear measurements. In this setting, sigma-point approximations to the Kalman filter (KF) recursion are widely used due to their ease of implementation and relatively good performance. In the update step, these sigma-point KFs are equivalent to linearizing the nonlinear measurement function by statistical linear regression (SLR) with respect to the prior PDF. In this paper, we argue that the measurement function should be linearized using SLR with respect to the posterior rather than the prior to take into account the information provided by the measurement. The resulting filter is referred to as the posterior linearization filter (PLF). In practice, the exact PLF update is intractable but can be approximated by the iterated PLF (IPLF), which carries out iterated SLRs with respect to the best available approximation to the posterior. The IPLF can be seen as an approximate recursive Kullback-Leibler divergence minimization procedure. We demonstrate the high performance of the IPLF in relation to other Gaussian filters in two numerical examples.

In Orthogonal Frequency Division Multiplexing (OFDM) transmitter systems, nonlinear distortion is a major impairment caused by power amplifier (PA). The distortion is constituted by numerous noise-like inter-modulation products (IMPs). Although the overall behavior of nonlinear IMP distortion has been well studied, in large multi-carrier contexts, such as in OFDM, the knowledge of individual IMPs and their quantitative interrelationships, together with the derivation of behavioural knowledge and the predictability of consequences arising from such interrelationships, is a fairly unexplored topic. This is the subject of this paper. The powers of the very numerous individual IMPs generated are analytically derived based on a Bessel-Fourier PA behavioural model, and it is proven that these powers have only a small number of distinct powers. Proven also is that the ratios of these power values are constants, and that these constants are invariant with the particular PA's nonlinearity characteristics or operating point. Further, it is proven that specific types of IMPs dominate nonlinear distortion effects. Finally, it is shown that IMP power spectra can be derived from a simple product of two polynomials, which are quadrature functions of frequency and PA operating point, respectively. Application possibilities for findings presented in this paper, such as their potential to contribute efficiency improvements in OFDM system modulation fidelity calculations (over 1100 times faster than conventional methods), are also outlined in the conclusions.

Bayesian tracking is a general technique for state estimation of nonlinear dynamic systems, but it suffers from the drawback of computational complexity. This paper is concerned with a class of Wiener systems with multiple nonlinear sensors. Such a system consists of a linear dynamic system followed by a set of static nonlinear measurements. We study a maximum-likelihood Kalman filtering (MLKF) technique which involves maximum-likelihood estimation of the nonlinear measurements followed by classical Kalman filtering. This technique permits a distributed implementation of the Bayesian tracker and guarantees the boundedness of the estimation error. The focus of this paper is to study the extent to which the MLKF technique approximates the theoretically optimal Bayesian tracker. We provide conditions to guarantee that this approximation becomes asymptotically exact as the number of sensors becomes large. Two case studies are analyzed in detail.

This paper addresses the problem of clustering data points that are approximately drawn from multiple subspaces. Recently a large family of spectral clustering based methods, such as sparse subspace clustering (SSC) and low-rank representation (LRR), have been proposed. In this paper, we present a general formulation to unify many of them within a common framework based on atomic representation. Since mean square error (MSE) relies heavily on the Gaussianity assumption, the previous MSE based subspace clustering methods have the limitation of being sensitive to non-Gaussian noise. In this paper, we develop a novel subspace clustering method, termed MEESSC, by specifying the minimum error entropy (MEE) as the loss function and the sparsity inducing atomic set. We show that MEESSC can well overcome the above limitation. The experimental results on both synthetic and real data verify the effectiveness of the proposed method.

Zero-forcing beamforming under per-antenna power constraint (PAPC) is considered in this paper, and the objective is to maximize the minimum user information rate. A parallel low complexity zero-forcing beamformer design is proposed in this paper for MU-MIMO systems by introducing a regularized dual decomposition method. The idea of this method is to solve the problem via solving its dual problem. Since the dual objective is not differentiable, a Tikhonov regularization is introduced. The regularized problem can be solved by using a gradient-based method in a parallel manner. Moreover, the optimal solution of the Lagrangian is in a closed form. The smoothness properties of the regularized dual function are investigated. We also estimate the error bound between the optimal function value of the primal problem and that of the regularized dual problem. Corresponding convergence analysis and convergence rate of the proposed algorithm are established. Computational complexity analysis is carried out to compare the complexity of the proposed method with that of state-of-the-art interior point method. Simulation results are provided to show the effectiveness of the proposed method.

We consider the problem of approximating optimal in the Minimum Mean Squared Error (MMSE) sense nonlinear filters in a discrete time setting, exploiting properties of stochastically convergent state process approximations. More specifically, we consider a class of nonlinear, partially observable stochastic systems, comprised by a (possibly nonstationary) hidden stochastic process (the state), observed through another conditionally Gaussian stochastic process (the observations). Under general assumptions, we show that, given an approximating process which, for each time step, is stochastically convergent to the state process, an approximate filtering operator can be defined, which converges to the true optimal nonlinear filter of the state in a strong and well defined sense. In particular, the convergence is compact in time and uniform in a completely characterized measurable set of probability measure almost unity, also providing a purely quantitative justification of Egoroff's Theorem for the problem at hand. The results presented in this paper can form a common basis for the analysis and characterization of a number of heuristic approaches for approximating optimal nonlinear filters, such as approximate grid based techniques, known to perform well in a variety of applications., EXTENDED version of an original paper published in the IEEE Transactions on Signal Processing; 37 pages

In this paper, cooperative sensor localization using asynchronous time-of-arrival measurements is investigated. It is well known that localization performance in wireless networks using time-based ranging or pseudo-ranging methods is greatly affected by the accuracy of the timing synchronization between the nodes involved in the estimation. Commonly, the original estimation problem is broken down into two subproblems, the synchronization problem and the localization problem, in what is known as a two-step approach. However, in this paper, the joint synchronization and localization problem is considered and examined for use in cooperative networks. It is discussed that the cooperation between the source nodes eliminates the need for high anchor node densities and improves localization performance significantly. Furthermore, the Cramer-Rao lower bounds (CRLB) and the maximum likelihood (ML) estimator are derived. It is shown that the ML estimator is highly nonlinear and nonconvex and must, therefore, be solved by using computationally complex algorithms. In order to reduce the complexity of the estimation, a novel semidefinite programming (SDP) relaxation method is developed by relaxing the original nonconvex ML problem, in such a way as to reformulate the estimation problem as a convex problem. The performance of the proposed SDP method is shown through computer simulations to nearly equal that of the ML estimator. The approach is also applied to the noncooperative case where it is found to be superior in performance than the previously proposed suboptimal estimators. Finally, complexity analyses are included for the estimators under consideration.

This paper studies the coordinated beamforming (CoBF) design for the multiple-input single-output interference channel, provided that only channel distribution information is known to the transmitters. The problem under consideration is a probabilistically constrained optimization problem which maximizes a predefined system utility subject to constraints on rate outage probability and power budget of each transmitter. Our recent analysis has shown that the outage-constrained CoBF problem is intricately difficult, e.g., NP-hard. Therefore, the focus of this paper is on suboptimal but computationally efficient algorithms. Specifically, by leveraging on the block successive upper bound minimization (BSUM) method in optimization, we propose a Gauss-Seidel type algorithm, called distributed BSUM algorithm, which can handle differentiable, monotone and concave system utilities. By exploiting a weighted minimum mean-square error (WMMSE) reformulation, we further propose a Jocobi-type algorithm, called distributed WMMSE algorithm, which can optimize the weighted sum rate utility in a fully parallel manner. To provide a performance benchmark, a relaxed approximation method based on polyblock outer approximation is also proposed. Simulation results show that the proposed algorithms are significantly superior to the existing successive convex approximation method in both performance and computational efficiency, and can yield promising approximation performance., submitted to IEEE Transactions on Signal Processing

Classical methods of DOA estimation such as the MUSIC algorithm are based on estimating the signal and noise subspaces from the sample covariance matrix. For a small number of samples, such methods are exposed to performance breakdown, as the sample covariance matrix can largely deviate from the true covariance matrix. In this paper, the problem of DOA estimation performance breakdown is investigated. We consider the structure of the sample covariance matrix and the dynamics of the root-MUSIC algorithm. The performance breakdown in the threshold region is associated with the subspace leakage where some portion of the true signal subspace resides in the estimated noise subspace. In this paper, the subspace leakage is theoretically derived. We also propose a two-step method which improves the performance by modifying the sample covariance matrix such that the amount of the subspace leakage is reduced. Furthermore, we introduce a phenomenon named as root-swap which occurs in the root-MUSIC algorithm in the low sample size region and degrades the performance of the DOA estimation. A new method is then proposed to alleviate this problem. Numerical examples and simulation results are given for uncorrelated and correlated sources to illustrate the improvement achieved by the proposed methods. Moreover, the proposed algorithms are combined with the pseudo-noise resampling method to further improve the performance., 37 pages, 10 figures, Submitted to the IEEE Transactions on Signal Processing in July 2014

Joint source-channel coding schemes based on analog mappings for point-to-point channels have recently gained attention for their simplicity and low delay. In this paper, these schemes are extended either to scenarios with or without side information at the decoders to transmit multiple descriptions of a Gaussian source over independent parallel channels. They are based on a lattice scaling approach together with bandwidth reduction analog mappings adapted for this multiple description scenario. The rationale behind lattice scaling is to improve performance through bandwidth expansion. Another important contribution of this paper is the proof of the separation theorem for the communication scenario of multiple description with side information at the decoders. This proof allows us to compare the performance of the proposed schemes with the theoretical limits when considering AWGN channels. Finally, when the channels are parallel slow-fading Rayleigh, the proposed schemes are optimal in terms of distortion exponent.

International audience; This paper addresses the problem of the Clutter Subspace Projector (CSP) estimation in the context of a disturbance composed of a Low Rank (LR) heterogeneous clutter , modeled here by a Spherically Invariant Random Vector (SIRV), plus a white Gaussian noise (WGN). In such context, the corresponding LR adaptive filters and detectors require less training vectors than classical methods to reach equivalent performance. Unlike classical adaptive processes, which are based on an estimate of the noise Covariance Matrix (CM), the LR processes are based on a CSP estimate. This CSP estimate is usually derived from a Singular Value Decomposition (SVD) of the CM estimate. However, no Maximum Likelihood Estimator (MLE) of the CM has been derived for the considered disturbance model. In this paper, we introduce the fixed point equation that MLE of the CSP satisfies for a disturbance composed of a LR-SIRV clutter plus a zero mean WGN. A recursive algorithm is proposed to compute this solution. Numerical simulations validate the introduced estimator and illustrate its interest compared to the current state of art.

This paper investigates the problem of interference among the simultaneous multiuser transmissions in the downlink of multiple antennas systems. Using symbol level precoding, a new approach towards the multiuser interference is discussed along this paper. The concept of exploiting the interference between the spatial multiuser transmissions by jointly utilizing the data information (DI) and channel state information (CSI), in order to design symbol-level precoders, is proposed. In this direction, the interference among the data streams is transformed under certain conditions to useful signal that can improve the signal to interference noise ratio (SINR) of the downlink transmissions. We propose a maximum ratio transmission (MRT) based algorithm that jointly exploits DI and CSI to glean the benefits from constructive multiuser interference. Subsequently, a relation between the constructive interference downlink transmission and physical layer multicasting is established. In this context, novel constructive interference precoding techniques that tackle the transmit power minimization (min power) with individual SINR constraints at each user's receivers is proposed. Furthermore, fairness through maximizing the weighted minimum SINR (max min SINR) of the users is addressed by finding the link between the min power and max min SINR problems. Moreover, heuristic precoding techniques are proposed to tackle the weighted sum rate problem. Finally, extensive numerical results show that the proposed schemes outperform other state of the art techniques., Submitted to IEEE Transactions on Signal Processing

This paper studies a sensor selection problem. A group of sensors measure the state of a process and send their measurements to a remote estimator. Due to communication constraints, only limited sensors are allowed to communicate with the estimator. The paper intends to answer which sensors should be chosen such that the estimation performance of the estimator is optimized. Both reliable and packet-dropping channels are considered. It is required to minimize the steady-state estimation error covariance for reliable channels and to minimize the upper bound of the expected estimation error covariance for packet-dropping channels. For both scenarios, the original optimization problems are transformed to problems which can be solved by convex optimization techniques.

In this paper, a novel transmit beampattern matching design method is proposed for a multiple-input multiple-output (MIMO) radar system. Whereas previous approaches first solve the correlation matrix $R$ and then use $R$ to design the transmit signal $S$ , the proposed one-step method obtains the transmit signal $S$ directly through solving the waveform matrix $P$ . Since MIMO radar transmit beampattern matching design is an inverse problem of the transmit beampattern, in this paper, we first discuss some important properties of the transmit beampattern and standardize the beampattern matching design problem. We then theoretically explain the value of the signal waveform matrix $P$ , followed by an unconstrained optimization problem to solve $P$ . Numerical examples demonstrate the advantages of the proposed one-step method for the MIMO radar transmit beampattern matching design problem, including uniform and non-uniform linear arrays.

In this paper, we consider the problem of recovering jointly sparse vectors from underdetermined measurements that are corrupted by both additive noise and outliers. This can be viewed as the robust extension of the Multiple Measurement Vector (MMV) problem. To solve this problem, we propose two general approaches. As a benchmark, the first approach preprocesses the input for outlier removal and then employs state-of-the-art technologies for signal recovery. The second approach, as the main contribution of this paper, is based on formulation of an innovative regularized fitting problem. By solving the regularized fitting problem, we jointly remove outliers and recover the sparse vectors. Furthermore, by exploiting temporal smoothness among the sparse vectors, we improve noise robustness of the proposed approach and avoid the problem of over-fitting. Extensive numerical results are provided to illustrate the excellent performance of the proposed approach.

Most conventional target tracking algorithms assume that one target can generate at most one detection per scan. However, in many practical target tracking applications, one target may generate multiple detections in one scan, because of multipath propagation, or high sensor resolution or some other reason. If the multiple detections from the same target can be effectively utilized, the performance of the multitarget tracking system can be improved. However, the challenge is that the uncertainty in the number of targets and the measurement set-to-target association will increase the complexity of tracking algorithms. To solve this problem, the random finite set (RFS) modeling and the random finite set statistics (FISST) are used in this paper. Without any extra approximation beyond those made in the standard probability hypothesis density (PHD) filter, a general multi-detection PHD (MD-PHD) update formulation is derived. It is also established in this paper that, with certain reasonable assumptions, the proposed MD-PHD recursion can function as a generalized extended target PHD or multisensor PHD filter. Furthermore, a Gaussian Mixture (GM) implementation of the proposed MD-PHD formulation, called the MD-GM-PHD filter, is presented. The proposed MD-GM-PHD filter is demonstrated on a simulated over-the-horizon radar (OTHR) scenario.

The present paper elaborates on tangent-bundle maps on the Grassmann manifold, with application to subspace arithmetic averaging. In particular, the present contribution elaborates on the work about retraction/lifting maps devised for the Stiefel manifold in the recently published paper T. Kaneko, S. Fiori and T. Tanaka, “Empirical arithmetic averaging over the compact Stiefel manifold,” IEEE Trans. Signal Process., Vol. 61, No. 4, pp. 883–894, February 2013, and discusses the extension of such maps to the Grassmann manifold. Tangent-bundle maps are devised on the basis of the thin QR matrix decomposition, the polar matrix decomposition and the exponential map. Also, tangent-bundle pseudo-maps based on the matrix Cayley transform are devised. Theoretical and numerical comparisons about the devised tangent-bundle maps are performed in order to get an insight into their relative merits and demerits, with special emphasis to their computational burden. The averaging algorithm based on the thin-QR decomposition maps stands out as it exhibits the best trade off between numerical precision and computational burden. Such algorithm is further compared with two Grassmann averaging algorithms drawn from the scientific literature on an handwritten digits recognition data set. The thin-QR tangent-bundle maps-based algorithm exhibits again numerical features that make it preferable over such algorithms.

An analytic solution to the multi-target Bayes recursion known as the $\delta $ -Generalized Labeled Multi-Bernoulli ( $\delta $ -GLMB) filter has been recently proposed by Vo and Vo in [“Labeled Random Finite Sets and Multi-Object Conjugate Priors,” IEEE Trans. Signal Process., vol. 61, no. 13, pp. 3460–3475, 2014]. As a sequel to that paper, the present paper details efficient implementations of the $\delta $ -GLMB multi-target tracking filter. Each iteration of this filter involves an update operation and a prediction operation, both of which result in weighted sums of multi-target exponentials with intractably large number of terms. To truncate these sums, the ranked assignment and K-th shortest path algorithms are used in the update and prediction, respectively, to determine the most significant terms without exhaustively computing all of the terms. In addition, using tools derived from the same framework, such as probability hypothesis density filtering, we present inexpensive (relative to the $\delta $ -GLMB filter) look-ahead strategies to reduce the number of computations. Characterization of the $L_{1}$ -error in the multi-target density arising from the truncation is presented.

The identifiability of self-calibration of local oscillator phase perturbation in multiple-input multiple-output (MIMO) radar is analyzed in this paper. Four cases are considered: the absolute phase perturbation (APP) and phase perturbation differences (PPDs) in MIMO radar with widely separated antennas (SMIMOR), and the APP and PPDs in co-located MIMO radar (CMIMOR). The tightness of the hybrid Cramer-Rao bound (HCRB) is proved in all four cases. It is interesting that the problem in this paper is a special case in which HCRB is asymptotically tight for nonlinear observation models containing unknown deterministic and random parameters. For each case, a signal model for multiple stationary targets is constructed. The closed-form HCRB of phase perturbation is derived and used to analyze the identifiability of phase perturbation. It is proven that only the PPDs in CMIMOR in the above-mentioned four cases are identifiable. Numerical simulations verify the conclusion.

We consider the problem of direction of arrival (DOA) estimation using a newly proposed structure of non-uniform linear arrays, referred to as co-prime arrays, in this paper. By exploiting the second order statistical information of the received signals, co-prime arrays exhibit O(MN) degrees of freedom with only M + N sensors. A sparsity based recovery method is proposed to fully utilize these degrees of freedom. Unlike traditional sparse recovery methods, the proposed method is based on the developing theory of super resolution, which considers a continuous range of possible sources instead of discretizing this range into a discrete grid. With this approach, off-grid effects inherited in traditional sparse recovery can be neglected, thus improving the accuracy of DOA estimation. In this paper we show that in the noiseless case one can theoretically detect up to M N sources with only 2M + N sensors. The noise 2 statistics of co-prime arrays are also analyzed to demonstrate the robustness of the proposed optimization scheme. A source number detection method is presented based on the spectrum reconstructed from the sparse method. By extensive numerical examples, we show the superiority of the proposed method in terms of DOA estimation accuracy, degrees of freedom, and resolution ability compared with previous methods, such as MUSIC with spatial smoothing and the discrete sparse recovery method., Comment: Submitted on December 17th, 2013

In this paper, the problem of detecting target in system-dependent clutter (SDC) background with a single observation from the test cell is researched. Classical detectors, such as the generalized likelihood ratio detectors (GLRDs) and the adaptive matched filters (AMFs), etc., usually deal with the clutter and the noise as a whole. The low rank detectors (LRDs) make use of the low rank property of the clutter to improve the detection performance. However, the performance of LRDs degrades when the signal is not orthogonal with respect to (w.r.t.) the clutter. In this paper, an adaptive subspace detector for SDC (SDC-ASD) background which deals with the clutter and the noise separately is proposed. The SDC-ASD designs the test statistic by replacing the signal and the clutter covariance matrix with their maximum likelihood estimations (MLEs). Its theoretical false alarm probability and detection probability are analytically deduced. Analytical results show that the test statistic has the form of non-central distribution. Besides, it is shown that the SDC-ASD has constant false alarm rate (CFAR) performance w.r.t. the clutter and the noise. Numerical experiments are provided to validate the detection performance of the SDC-ASD in dealing with the target detection in SDC background. (Less)

The famous mathematician S. Ramanujan introduced a summation in 1918, now known as the Ramanujan sum c_q(n). For any fixed integer q, this is a sequence in n with periodicity q. Ramanujan showed that many standard arithmetic functions in the theory of numbers, such as Euler's totient function φ(n) and the Mobius function μ(n), can be expressed as linear combinations of c_q(n), 1 ≤ q ≤ ∞. In the last ten years, Ramanujan sums have aroused some interest in signal processing. There is evidence that these sums can be used to extract periodic components in discrete-time signals. The purpose of this paper and the companion paper (Part II) is to develop this theory in detail. After a brief review of the properties of Ramanujan sums, the paper introduces a subspace called the Ramanujan subspace S_q and studies its properties in detail. For fixed q, the subspace S_q includes an entire family of signals with properties similar to c_q(n). These subspaces have a simple integer basis defined in terms of the Ramanujan sum c_q(n) and its circular shifts. The projection of arbitrary signals onto these subspaces can be calculated using only integer operations. Linear combinations of signals belonging to two or more such subspaces follows certain specific periodicity patterns, which makes it easy to identify periods. In the companion paper (Part II), it is shown that arbitrary finite duration signals can be decomposed into a finite sum of orthogonal projections onto Ramanujan subspaces.

Interest in parameterized time-frequency analysis for non-stationary signal processing is increasing steadily. An important advantage of such analysis is to provide highly concentrated time-frequency representation with signal-dependent resolution. In this paper, a general scheme, named as general parameterized time-frequency transform (GPTF transform), is proposed for carrying out parameterized time-frequency analysis. The GPTF transform is defined by applying generalized kernel based rotation operator and shift operator. It provides the availability of a single generalized time-frequency transform for applications on signals of different natures. Furthermore, by replacing kernel function, it facilitates the implementation of various parameterized time – frequency transforms from the same standpoint. The desirable properties and the dual definition in the frequency domain of GPTF transform are also described in this paper. One of the advantages of the GPTF transform is that the generalized kernel can be customized to characterize the time – frequency signature of non-stationary signal. As different kernel formulation has bias toward the signal to be analyzed, a proper kernel is vital to the GPTF. Thus, several potential kernels are provided and discussed in this paper to develop the desired parameterized time – frequency transforms. In real applications, it is desired to identify proper kernel with respect to the considered signal. This motivates us to propose an effective method to identify the kernel for the GPTF.

We propose a novel decomposition framework for the distributed optimization of Difference Convex (DC)-type nonseparable sum-utility functions subject to coupling convex constraints. A major contribution of the paper is to develop for the first time a class of (inexact) best-response-like algorithms with provable convergence, where a suitably convexified version of the original DC program is iteratively solved. The main feature of the proposed successive convex approximation method is its decomposability structure across the users, which leads naturally to distributed algorithms in the primal and/or dual domain. The proposed framework is applicable to a variety of multiuser DC problems in different areas, ranging from signal processing, to communications and networking. As a case study, in the second part of the paper we focus on two examples, namely: i) a novel resource allocation problem in the emerging area of cooperative physical layer security and ii) and the renowned sum-rate maximization of MIMO Cognitive Radio networks. Our contribution in this context is to devise a class of easy-to-implement distributed algorithms with provable convergence to stationary solution of such problems. Numerical results show that the proposed distributed schemes reach performance close to (and sometimes better than) that of centralized methods.

In this two-part paper, we consider the problem of adaptive multidimensional/multichannel signal detection in Gaussian noise with unknown covariance matrix. The test data (primary data) is assumed as a collection of sample vectors, arranged as the columns of a rectangular data array. The rows and columns of the signal matrix are both assumed to lie in known subspaces, but with unknown coordinates. Due to this feature of the signal structure, we name this kind of signal as the double subspace signal. Part I of this paper focuses on the adaptive detection in homogeneous environments, while Part II deals with the adaptive detection in partially homogeneous environments. Precisely, in this part, we derive the generalized likelihood ratio test (GLRT), Rao test, Wald test, as well as their two-step variations, in homogeneous environments. Three types of spectral norm tests (SNTs) are also introduced. All these detectors are shown to possess the constant false alarm rate (CFAR) property. Moreover, we discuss the differences between them and show how they work. Another contribution is that we investigate various special cases of these detectors. Remarkably, some of them are well-known existing detectors, while some others are still new. At the stage of performance evaluation, conducted by Monte Carlo simulations, both matched and mismatched signals are dealt with. For each case, more than one scenario is considered.

This paper designs an optimal cosine modulated nonuniform linear phase finite impulse response (FIR) filter bank. The frequency responses of all the analysis filters and the synthesis filters of the filter bank are derived based on both stretching and shifting the frequency response of a single prototype filter. The total aliasing error of the filter bank is minimized subject to specifications on the maximum magnitude distortion of the filter bank and the maximum ripple magnitudes of the prototype filter over both the passband and the stopband. This paper proposes a joint constraint transcription and modified filled function method for solving the optimization problem. In particular, the functional inequality constraints are converted to discrete constraints via the constraint transcription method. The globally optimal solution of the nonconvex optimization problem can be found efficiently via the modified filled function method. Computer numerical simulation results show that our design outperforms existing designs.

The paper investigates a new stability problem of the least mean fourth (LMF) algorithm, which is the dependence of the algorithm stability on the time-variation of the target weights of the adaptive filter. The analysis is done in the context of tracking a Markov plant with a stationary white Gaussian input. It is found that the algorithm diverges if the mean square increment of the plant parameter vector exceeds a threshold value that depends on the step-size, input variance, and noise moments. The paper also derives a closed form of the steady-state mean square deviation without the usual assumption of a strong noise. Comparison of the tracking capabilities of the LMF and LMS algorithms is provided. The comparison is done in terms of the minimum mean square deviation attained by each algorithm over the stability range of its step-size. Gaussian, uniform, and binary distributions of the noise are considered. Conditions that make one algorithm outperform the other are determined. Analytical results are supported by simulations.

This paper seeks to combine linear time-invariant (LTI) filtering and sparsity-based denoising in a principled way in order to effectively filter (denoise) a wider class of signals. LTI filtering is most suitable for signals restricted to a known frequency band, while sparsity-based denoising is suitable for signals admitting a sparse representation with respect to a known transform. However, some signals cannot be accurately categorized as either band-limited or sparse. This paper addresses the problem of filtering noisy data for the particular case where the underlying signal comprises a low-frequency component and a sparse or sparse-derivative component. A convex optimization approach is presented and two algorithms derived: one based on majorization-minimization (MM), and the other based on the alternating direction method of multipliers (ADMM). It is shown that a particular choice of discrete-time filter, namely zero-phase noncausal recursive filters for finite-length data formulated in terms of banded matrices, makes the algorithms effective and computationally efficient. The efficiency stems from the use of fast algorithms for solving banded systems of linear equations. The method is illustrated using data from a physiological-measurement technique (i.e., near infrared spectroscopic time series imaging) that in many cases yields data that is well-approximated as the sum of low-frequency, sparse or sparse-derivative, and noise components.

Stochastic orders are binary relations defined on probability distributions which capture intuitive notions like being larger or being more variable. This paper introduces stochastic ordering of interference distributions in large-scale networks modeled as point processes. Interference is a major performance-limiting factor in most wireless networks, thus it is important to characterize its statistics. Since closed-form results for the distribution of interference for such networks are only available in limited cases, it is of interest to compare network interference using stochastic orders, for two different point processes with different fading or path-loss scenarios between the interferers and the receiver. In this paper, conditions on the fading distribution and path-loss model are given to establish stochastic ordering between interferences. Moreover, Laplace functional ordering is defined between point processes and applied for comparing interference. Monte-Carlo simulations are used to supplement our analytical results. The useful applications of this research are also provided.

In this paper, we extend the generalized approximate message passing (G-AMP) approach, originally proposed for high-dimensional generalized-linear regression in the context of compressive sensing, to the generalized-bilinear case. In Part I of this two-part paper, we derived our Bilinear G-AMP (BiG-AMP) algorithm as an approximation of the sum-product belief propagation algorithm in the high-dimensional limit, and proposed an adaptive damping mechanism that aids convergence under finite problem sizes, an expectation-maximization (EM)-based method to automatically tune the parameters of the assumed priors, and two rank-selection strategies. Here, in Part II, we discuss the specializations of BiG-AMP to the problems of matrix completion, robust PCA, and dictionary learning, and present the results of an extensive empirical study comparing BiG-AMP to state-of-the-art algorithms on each problem. Our numerical results, using both synthetic and real-world datasets, demonstrate that EM-BiG-AMP yields excellent reconstruction accuracy (often best in class) while maintaining competitive runtimes.

In this paper, we extend the generalized approximate message passing (G-AMP) approach, originally proposed for high-dimensional generalized-linear regression in the context of compressive sensing, to the generalized-bilinear case, which enables its application to matrix completion, robust PCA, dictionary learning, and related matrix-factorization problems. Here, in Part I of a two-part paper, we derive our Bilinear G-AMP (BiG-AMP) algorithm as an approximation of the sum-product belief propagation algorithm in the high-dimensional limit, where central-limit theorem arguments and Taylor-series approximations apply, and under the assumption of statistically independent matrix entries with known priors. In addition, we propose an adaptive damping mechanism that aids convergence under finite problem sizes, an expectation-maximization (EM)-based method to automatically tune the parameters of the assumed priors, and two rank-selection strategies. In Part II of the paper, we will discuss the specializations of EM-BiG-AMP to the problems of matrix completion, robust PCA, and dictionary learning, and we will present the results of an extensive empirical study comparing EM-BiG-AMP to state-of-the-art algorithms on each problem.

Given $N$ noisy measurements denoted by ${\mathbf y}$ and an overcomplete Gaussian dictionary, ${\mathbf A}$ , the authors of [1] establish the existence and the asymptotic statistical efficiency of an unbiased estimator unaware of the locations of the nonzero entries, collected in set $\mathcal {I}$ , in the deterministic $L$ -sparse signal ${\mathbf x}$ . More precisely, there exists an estimator ${\hat{\mathbf {x}}}({\mathbf y}, {\mathbf A})$ unaware of set $\mathcal {I}$ with a variance reaching the oracle-Cramer–Rao Bound in the asymptotic scenario, i.e., for $N,L\rightarrow \infty$ and $L/N \rightarrow \alpha \in (0,1)$ . As was noted in the paper “Fundamental limits and constructive methods for estimation and sensing of sparse signals” by B. Babadi, the existence proof remains true even though Lemma 3.5 and (20) the paper “Asymptotic achievability of the Cramer–Rao bound for noisy compressive sampling” are inexact. In this note, the exact closed-form expression of the variance of the estimator ${\hat{\mathbf {x}}}({\mathbf y}, {\mathbf A})$ is provided, and its practical usefulness is numerically illustrated with the orthogonal matching pursuit estimator.

In this paper, we consider the problem of sparse error correction from general nonlinear measurements, which has applications in state estimation of electrical power networks, when bad data (outliers) are present. An iterative mixed l1 and l2 convex program is used to estimate the true state by locally linearizing the nonlinear measurements. In the special case when the measurements are linear, through using the almost Euclidean property for a linear subspace, we derive a new performance bound for the state estimation error under sparse bad data and additive observation noise. As a byproduct, in this paper we provide sharp bounds on the almost Euclidean property of a linear subspace, using the “escape-through-the-mesh” theorem from geometric functional analysis. When the measurements are nonlinear, we give conditions under which the solution of the iterative algorithm converges to the true state even though the locally linearized measurements may not be the actual nonlinear measurements. We are able to use a semidefinite program to verify the conditions for convergence of the proposed iterative sparse recovery algorithms from nonlinear measurements. We then numerically evaluate our iterative convex programming approach of performing bad data detections in nonlinear electrical power networks problems.

The Probability Hypothesis Density Filter (PHD) is a multitarget tracker for recursively estimating the number of targets and their state vectors from a set of observations. The PHD filter is capable of working well in scenarios with false alarms and missed detections. Two distinct PHD filter implementations are available in the literature: the Sequential Monte Carlo Probability Hypothesis Density (SMC-PHD) and the Gaussian Mixture Probability Hypothesis Density (GM-PHD) filters. The SMC-PHD filter uses particles to provide target state estimates, which can lead to a high computational load, whereas the GM-PHD filter does not use particles, but restricts to linear Gaussian mixture models. The SMC-PHD filter technique provides only weighted samples at discrete points in the state space instead of a continuous estimate of the probability density function of the system state and thus suffers from the well-known degeneracy problem. This paper proposes a B-Spline based Probability Hypothesis Density (S-PHD) filter, which has the capability to model any arbitrary probability density function. The resulting algorithm can handle linear, non-linear, Gaussian, and non-Gaussian models and the S-PHD filter can also provide continuous estimates of the probability density function of the system state. In addition, by moving the knots dynamically, the S-PHD filter ensures that the splines cover only the region where the probability of the system state is significant, hence the high efficiency of the S-PHD filter is maintained at all times. Also, unlike the SMC-PHD filter, the S-PHD filter is immune to the degeneracy problem due to its continuous nature. The S-PHD filter derivations and simulations are provided in this paper.

Given a limited number of entries from the superposition of a low-rank matrix plus the product of a known compression matrix times a sparse matrix, recovery of the low-rank and sparse components is a fundamental task subsuming compressed sensing, matrix completion, and principal components pursuit. This paper develops algorithms for decentralized sparsity-regularized rank minimization over networks, when the nuclear- and l1-norm are used as surrogates to the rank and nonzero entry counts of the sought matrices, respectively. While nuclear-norm minimization has well-documented merits when centralized processing is viable, non-separability of the singular-value sum challenges its decentralized minimization. To overcome this limitation, leveraging an alternative characterization of the nuclear norm yields a separable, yet non-convex cost minimized via the alternating-direction method of multipliers. Interestingly, if the decentralized (non-convex) estimator converges, under certain conditions it provably attains the global optimum of its centralized counterpart. As a result, this paper bridges the performance gap between centralized and in-network decentralized, sparsity-regularized rank minimization. This, in turn, facilitates (stable) recovery of the low rank and sparse model matrices through reduced-complexity per-node computations, and affordable message passing among single-hop neighbors. Several application domains are outlined to highlight the generality and impact of the proposed framework. These include unveiling traffic anomalies in backbone networks, and predicting networkwide path latencies. Simulations with synthetic and real network data confirm the convergence of the novel decentralized algorithm, and its centralized performance guarantees.

In our recent work, we proposed the design of perfect reconstruction orthogonal wavelet filterbanks, called graph- QMF, for arbitrary undirected weighted graphs. In that formulation we first designed "one-dimensional" two-channel filterbanks on bipartite graphs, and then extended them to "multi-dimensional" separable two-channel filterbanks for arbitrary graphs via a bipartite subgraph decomposition. We specifically designed wavelet filters based on the spectral decomposition of the graph, and stated necessary and sufficient conditions for a two-channel graph filter-bank on bipartite graphs to provide aliasing-cancellation, perfect reconstruction and orthogonal set of basis (orthogonality). While, the exact graph-QMF designs satisfy all the above conditions, they are not exactly k-hop localized on the graph. In this paper, we relax the condition of orthogonality to design a biorthogonal pair of graph-wavelets that can have compact spatial spread and still satisfy the perfect reconstruction conditions. The design is analogous to the standard Cohen-Daubechies-Feauveau's (CDF) construction of factorizing a maximally-flat Daubechies half-band filter. Preliminary results demonstrate that the proposed filterbanks can be useful for both standard signal processing applications as well as for signals defined on arbitrary graphs. Note: Code examples from this paper are available at http://biron.usc.edu/wiki/index.php/Graph Filterbanks, Comment: Submitted for review in IEEE TSP

In general, algorithms for order-3 CANDECOMP/ PARAFAC (CP), also coined canonical polyadic decomposition (CPD), are easy to implement and can be extended to higher order CPD. Unfortunately, the algorithms become computationally demanding, and they are often not applicable to higher order and relatively large scale tensors. In this paper, by exploiting the uniqueness of CPD and the relation of a tensor in Kruskal form and its unfolded tensor, we propose a fast approach to deal with this problem. Instead of directly factorizing the high order data tensor, the method decomposes an unfolded tensor with lower order, e.g., order-3 tensor. On the basis of the order-3 estimated tensor, a structured Kruskal tensor, of the same dimension as the data tensor, is then generated, and decomposed to find the final solution using fast algorithms for the structured CPD. In addition, strategies to unfold tensors are suggested and practically verified in the paper.

In this paper, we consider cognitive beamforming for multiple secondary data streams subject to individual signal-to-noise ratio (SNR) requirements for each secondary data stream. In such a cognitive radio system, the secondary user is permitted to use the spectrum allocated to the primary user as long as the caused interference at the primary receiver is tolerable. With both secondary SNR constraint and primary interference power constraint, we aim to minimize the secondary transmit power consumption. By exploiting the individual SNR requirements, we formulate this cognitive beamforming problem as an optimization problem on the Stiefel manifold. Both zero forcing beamforming (ZFB) and nonzero forcing beamforming (NFB) are considered. For the ZFB case, we derive a closed form beamforming solution. For the NFB case, we prove that the strong duality holds for the nonconvex primal problem and thus the optimal solution can be easily obtained by solving the dual problem. Finally, numerical results are presented to illustrate the performance of the proposed cognitive beamforming solutions., Comment: This is the longer version of a paper to appear in the IEEE Transactions on Signal Processing

In this paper, we consider the delay-constrained beamforming control for downlink multi-user MIMO (MU- MIMO) systems with imperfect channel state information at the transmitter (CSIT). The delay-constrained control problem is formulated as an infinite horizon average cost partially observed Markov decision process. To deal with the curse of dimensionality, we introduce a virtual continuous time system and derive a closed-form approximate value function using perturbation analysis w.r.t. the CSIT errors. To deal with the challenge of the conditional packet error rate (PER), we build a tractable closed- form approximation using a Bernstein-type inequality. Based on the closed-form approximations of the relative value function and the conditional PER, we propose a conservative formulation of the original beamforming control problem. The conservative problem is non-convex and we transform it into a convex problem using the semidefinite relaxation (SDR) technique. We then propose an alternating iterative algorithm to solve the SDR problem. Finally, the proposed scheme is compared with various baselines through simulations and it is shown that significant performance gain can be achieved., Comment: 14 pages, 7 figures, 1 table. This paper has been accepted by the IEEE Transactions on Signal Processing

This paper studies a sparse signal recovery task in time-varying (time-adaptive) environments. The contribution of the paper to sparsity-aware online learning is threefold; first, a Generalized Thresholding (GT) operator, which relates to both convex and non-convex penalty functions, is introduced. This operator embodies, in a unified way, the majority of well-known thresholding rules which promote sparsity. Second, a non-convexly constrained, sparsity-promoting, online learning scheme, namely the Adaptive Projection-based Generalized Thresholding (APGT), is developed that incorporates the GT operator with a computational complexity that scales linearly to the number of unknowns. Third, the novel family of partially quasi-nonexpansive mappings is introduced as a functional analytic tool for treating the GT operator. By building upon the rich fixed point theory, the previous class of mappings helps us, also, to establish a link between the GT operator and a union of linear subspaces; a non-convex object which lies at the heart of any sparsity promoting technique, batch or online. Based on such a functional analytic framework, a convergence analysis of the APGT is provided. Furthermore, extensive experiments suggest that the APGT exhibits competitive performance when compared to computationally more demanding alternatives, such as the sparsity-promoting Affine Projection Algorithm (APA)- and Recursive Least Squares (RLS)-based techniques.

Signal dependent Karhunen-Loeve transform (KLT), also called factor analysis or principal component analysis (PCA), has been of great interest in applied mathematics and various engineering disciplines due to optimal performance. However, implementation of KLT has always been the main concern. Therefore, fixed transforms like discrete Fourier (DFT) and discrete cosine (DCT) with efficient algorithms have been successfully used as good approximations to KLT for popular applications spanning from source coding to digital communications. In this paper, we propose a simple method to derive explicit KLT kernel, or to perform PCA, in closed-form for first-order autoregressive, AR (1), discrete process. It is a widely used approximation to many real world signals. The merit of the proposed technique is shown. The novel method introduced in this paper is expected to make real-time and data-intensive applications of KLT, and PCA, more feasible.