Efficient Linear Fusion of Distributed MMSE Estimators for Big Data

Authors: D. Luengo, L. Martino, V. Elvira, M. Bugallo

Many signal processing applications require performing statistical inference on large datasets, where computational and/or memory restrictions become an issue. In this big data setting, computing an exact global centralized estimator is often unfeasible. Furthermore, even when approximate numerical solutions (e.g., based on Monte Carlo methods) working directly on the whole dataset can be computed, they may not provide a satisfactory performance either. Hence, several authors have recently started considering distributed inference approaches, where the data is divided among multiple workers (cores, machines or a combination of both). The computations are then performed in parallel and the resulting distributed or partial estimators are finally combined to approximate the intractable global estimator. In this paper, we focus on the scenario where no communication exists among the workers, deriving efficient linear fusion rules for the combination of the distributed estimators. Both a Bayesian perspective (based on the Bernstein-von Mises theorem and the asymptotic normality of the estimators) and a constrained optimization view are provided for the derivation of the linear fusion rules proposed. We concentrate on minimum mean squared error (MMSE) partial estimators, but the approach is more general and can be used to combine any kind of distributed estimators as long as they are unbiased. Numerical results show the good performance of the algorithms developed, both in simple problems where analytical expressions can be obtained for the distributed MMSE estimators, and in a wireless sensor network localization problem where Monte Carlo methods are used to approximate the partial estimators.

Comments: 22 Pages.

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[v1] 2016-01-16 22:40:19

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