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Covariance Estimation from Compressive Data Partitions using a Projected Gradient-based Algorithm

Compressive covariance estimation has arisen as a class of techniques whose aim is to obtain second-order statistics of stochastic processes from compressive measurements. Recently, these methods have been used in various image processing and communications applications, including denoising, spectrum sensing, and compression. Notice that estimating the covariance matrix from compressive samples leads to ill-posed minimizations with severe performance loss at high compression rates. In this regard, a regularization term is typically aggregated to the cost function to consider prior information about a particular property of the covariance matrix. Hence, this paper proposes an algorithm based on the projected gradient method to recover low-rank or Toeplitz approximations of the covariance matrix from compressive measurements. The algorithm divides the compressive measurements into data subsets projected onto different subspaces and accurately estimates the covariance matrix by solving a single optimization problem assuming that each data subset contains an approximation of the signal statistics. Furthermore, gradient filtering is included at every iteration of the proposed algorithm to minimize the estimation error. The error induced by the proposed splitting approach is analytically derived along with the convergence guarantees of the proposed method. The algorithm estimates the covariance matrix of hyperspectral images from synthetic and real compressive samples. Extensive simulations show that the proposed algorithm can effectively recover the covariance matrix of hyperspectral images from compressive measurements (8-15% approx). Moreover, simulations and theoretical results show that the filtering step reduces the recovery error up to twice the number of eigenvectors. Finally, an optical implementation is proposed, and real measurements are used to validate the theoretical findings.

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