A Sparse State Kalman Filter Algorithm Based on Kalman Gain.

In order to improve tracking accuracy of time-varying sparse signals, a sparse state Kalman filter algorithm based on Kalman gain matrix is proposed in this paper. Under the constraint of sparse state, minimizing the mean square error and solving the optimization problem by using the symmetrical alternating direction multiplier method (symmetrical ADMM), while keeping the update expression of state estimation unchanged, a Kalman gain matrix is obtained which can make the state estimation sparse. In addition, this paper also discusses two different sparse constraints which are L1 norm constraint and cardinality function constraint. The proposed algorithm can be implemented under the framework of conventional Kalman filter algorithm, no need to introduce additional frameworks. Two groups of dynamic signal models, a slow change of signal and a random walk of nonzero elements, are simulated. Simulation results show that the proposed algorithm can improve the tracking accuracy of conventional Kalman filter algorithm for time-varying sparse signal. [ABSTRACT FROM AUTHOR]