Estimating the unknown causal dependencies among graph-connected time series plays an important role in many applications, such as sensor network analysis, signal processing over cyber-physical systems, and finance engineering. Inference of such causal dependencies, often know as topology identification, is not well studied for non-linear non-stationary systems, and most of the existing methods are batch-based which are not capable of handling streaming sensor signals. In this paper, we propose an online kernel-based algorithm for topology estimation of nonlinear vector autoregressive time series by solving a sparse online optimization framework using the composite objective mirror descent method. Experiments conducted on real and synthetic data sets show that the proposed algorithm outperforms the stateof-the-art methods for topology estimation.

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This paper proposes a novel algorithm for image phase retrieval, i.e., for recovering complex-valued images from the amplitudes of noisy linear combinations (often the Fourier transform) of the sought complex images. The algorithm is developed using the alternating projection framework and is aimed to obtain high performance for heavily noisy (Poissonian or Gaussian) observations. The estimation of the target images is reformulated as a sparse regression, often termed sparse coding, in the complex domain. This is accomplished by learning a complex domain dictionary from the data it represents via matrix factorization with sparsity constraints on the code (i.e., the regression coefficients). Our algorithm, termed dictionary learning phase retrieval (DLPR), jointly learns the referred to dictionary and reconstructs the unknown target image. The effectiveness of DLPR is illustrated through experiments conducted on complex images, simulated and real, where it shows noticeable advantages over the state-of-the-art competitors.