Filtering in Distributed Large Scale Networked Systems
José M. F. Moura , University Professor at Carnegie Mellon University
| When: | Jan 28, 2011 | 3:00 pm - 4:00 pm |
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| Where: | MD G125 |
This talk considers estimation in the setting of distributed agents that exchange data using a random protocol (e.g., gossip,) and when the communications network is subject to intermittent random failures. We establish a distributed detectability condition under which distributed estimators are asymptotically equivalent to the optimal centralized filter. We present the gossip interactive Kalman filter, whose associated Riccati equation is random, which we model as a random dynamical system (RDS). The sample paths of this RDS converge in distribution to an invariant measure on the cone of positive definite matrices–the random equivalent of the standard Kalman filtering result that, under appropriate conditions, the Riccati equation converges to a fixed point. Finally, we obtain a large deviation result that characterizes the optimal decay rate of the probability of rare events, i.e., events where the paths of the RDS are bounded away from the fixed point of the non random Riccati equation.
| Speaker Biography: | José M. F. Moura is a University Professor at CMU where he founded the Center for Sensed Critical Infrastructure Research and the Information and Communication Technologies Institute, a major educational and research initiative between CMU and nine Universities in Portugal. He holds a D.Sc. in Electrical Engineering and Computer Science from the Massachusetts Institute of Technology (MIT). His interests are in algebraic and statistical signal/ image processing, with projects on distributed algorithms, large scale critical physical infrastructures, bioimaging, and intelligent compilers for signal processing algorithms. He is a Director Elect for the IEEE and was President of the IEEE Signal Processing Society, Editor in Chief for the IEEE Transactions on Signal Processing, and a member of the Boards of the IEEE Proceedings and the ACM Sensors Journal. He received several awards, including Fellow of the IEEE, Fellow of the AAAS, corresponding member of the Academia das Ciências of Portugal, and the IEEE Signal Processing Society 2010 Technical Achievement Award IEEE. In 2010, he was elected University Professor at CMU. This is joint work with Soummya Kar. |
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| Host: | Yue M. Lu |
| Contact: |
Yue M. Lu
yuelu@seas.harvard.edu |
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