Maximum likelihood estimation under partial sparsity constraints

We consider the problem of estimating two deterministic vectors in a linear Gaussian model where one of the unknown vectors is subject to a sparsity constraint. We derive the maximum likelihood estimator for this problem and develop the Projected Orthogonal Matching Pursuit (POMP) algorithm for its practical implementation. The corresponding constrained Cramér-Rao bound (CCRB) on the mean-square-error is developed under the sparsity constraint. We then show that estimation in linear dynamical systems with a sparse control can be formulated as a special case of this problem.