Fast Data-driven Greedy Sensor Selection for Ridge Regression

We propose a data-driven sensor-selection algorithm for accurate estimation of the target variables from the selected measurements. The target variables are assumed to be estimated by a ridge-regression estimator which is trained based on the data. The proposed algorithm greedily selects sensors for minimization of the cost function of the estimator. Sensor selection which prevents the overfitting of the resulting estimator can be realized by setting a positive regularization parameter. The greedy solution is computed in quite a short time by using some recurrent relations that we derive. Furthermore, we show that sensor selection can be accelerated by dimensionality reduction of the target variables without large deterioration of the estimation performance. The effectiveness of the proposed algorithm is verified for two real-world datasets. The first dataset is a dataset of sea surface temperature for sensor selection for reconstructing large data, and the second is a dataset of surface pressure distribution and yaw angle of a ground vehicle for sensor selection for estimation. The experiments reveal that the proposed algorithm outperforms some data-drive selection algorithms including the orthogonal matching pursuit.