Dynamic filtering of sparse signals using reweighted ℓ1

Accurate estimation of undersampled time-varying signals improves as stronger signal models provide more information to aid the estimator. In class Kalman filter-type algorithms, dynamic models of signal evolution are highly leveraged but there is little exploitation of structure within a signal at a given time. In contrast, standard sparse approximation schemes (e.g., L1 minimization) utilize strong structural models for a single signal, but do not admit obvious ways to incorporate dynamic models for data streams. In this work we introduce a causal estimation algorithm to estimate time-varying sparse signals. This algorithm is based on a hierarchical probabilistic model that uses re-weighted L1 minimization as its core computation, and propagates second order statistics through time similar to classic Kalman filtering. The resulting algorithm achieves very good performance, and appears to be particularly robust to errors in the dynamic signal model.