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Asymptotically Efficient Distributed Estimation With Exponential Family Statistics

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journal contribution
posted on 2014-02-01, 00:00 authored by Soummya KarSoummya Kar, José M. F. Moura

This paper studies the problem of distributed parameter estimation in multiagent networks withexponential family observation statistics. A certainty-equivalence type distributed estimator of the consensus-plus-innovations form is proposed in which, at each observation sampling epoch, agents update their local parameter estimates by appropriately combining the data received from their neighbors and the locally sensed new information (innovation). Under global observability of the networked sensing model, i.e., the ability to distinguish between different instances of the parameter value based on the joint observation statistics, and mean connectivity of the inter-agent communication network, the proposed estimator is shown to yield consistent parameter estimates at each network agent. Further, it is shown that the distributed estimator is asymptotically efficient, in that, the asymptotic covariances of the agent estimates coincide with that of the optimal centralized estimator, i.e., the inverse of the centralized Fisher information rate. From a technical viewpoint, the proposeddistributed estimator leads to non-Markovian mixed time-scale stochastic recursions and the analytical methods developed in this paper contribute to the general theory of distributed stochastic approximation.

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2014-02-01

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