most citedConvex vs nonconvex approaches for sparse estimation: GLasso, Multiple Kernel Learning and Hyperparameter GLasso

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math.OC2013

Optimization viewpoint on Kalman smoothing, with applications to robust and sparse estimation

Aleksandr Y. Aravkin, James V. Burke, Gianluigi Pillonetto

In this paper, we present the optimization formulation of the Kalman filtering and smoothing problems, and use this perspective to develop a variety of extensions and applications.…