Software & Hardware
Total Maximum Likelihood: An Alternative to Total Least-Squares
Amir Beck and Yonina C. Eldar
Total Maximum Likelihood

Estimation under uncertainty conditions is an important problem in modern statistical signal processing. A popular estimation problem is that of estimating an unknown, deterministic vector parameter in the linear model


Here is a known model matrix, while and are perturbations to the model matrix and the measurements, respectively.

The standard technique to estimating is the total least-squares (TLS) method. In this approach, we seek the values of such that (1) is consistent, and the perturbations and have minimal norm:

where for a matrix , the norm stands for the Frobenius norm. By minimizing with respect to and , the problem can be cast as the following minimization problem in :


Despite its popularity, in practice, the performance of the TLS method can be quite poor. For example, in the case when is square and nonsingular, it does not take the uncertainty into account and reduces to the conventional least-squares solution. In our work we propose a different approach to estimating that has superior performance. The motivation for this new method comes from a maximum likelihood (ML) formulation, and is therefore referred to as the total ML (TML) estimate.

To derive the TML estimate, we assume that is a matrix comprised of independent normal random variables with zero-mean and variance and that consists of independent normal random variables with zero-mean and variance . We then estimate by computing the ML solution under this model which amounts to solving:


Problem (3) can be solved efficiently by transforming it into a single-variable minimization of a unimodal function [1,2].

The objective in (3) can be viewed as a regularization of the TLS problem (2). Therefore, this technique provides statistical reasoning to regularized TLS and suggests an inherent logarithmic penalty scheme. Statistical analysis carried out in [2], as well as numerical simulations, demonstrate the superiority of the TML approach over TLS. Despite its noncovenxity, the objective (3) can be minimized efficiently, as detailed in [1,2].

Structured Total Maximum Likelihood

The TML technique can also be extended to the case in which the model matrix and consequently the perturbation matrix have structure so that the perturbations are not arbitrary but rather follow a fixed pattern. The resulting estimate is referred to as the structured TML (STML). As with the TML, the STML can be viewed as a regularized version of the structured TLS (STLS) approach in which the regularization consists of a logarithmic penalty. However, in contrast to the STLS solution, the STML always exists. Furthermore, its performance in practice tends to be superior to that of the STLS. Methods to implement the STML efficiently are developed in [3].

We treat the case in which is known to have a linear structure:

where are the structure matrices and are the structure components; typically is smaller than . This structure can be taken into account in order to improve the estimation performance. Instead of allowing to be an arbitrary matrix, we consider only structured perturbations of the form

where are the unknown perturbation structure variables.

The ML estimate of in this case is the solution to



In [3] it is shown how to solve (4) efficiently in several special cases. In the Matlab package below we consider solutions for arbitrary , as well as dedicated implementations of two general classes of perturbations:

1. In the first case, the perturbation matrix has the form where and are given and is arbitrary. For example, the choice

corresponds to the situation in which the first rows of are contaminated by noise, while the remainder rows are noise free. The choice , corresponds to the scenario in which the first columns of are error free while the remaining are noisy.

2. In the second example, the perturbation is a circulant matrix.

In the figure below we illustrate the behavior of the STML and STLS estimates. The problem is a discretization of the famous Phillips test problem which is an integral equation of the first kind.

Evidently, The STML estimate fits the true signal reasonably, while the STLS solution behaves erratically.

Software Download
  • Download Total Maximum Likelihood Matlab Implementation.
1. Unzip all files to a directory of your choice.
2. Update MATLAB's path to make the m-files of the package accessible.
3. Description of the package usage is available in the file guide.pdf.
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