Sensor selection for Kalman filtering of linear dynamical systems: Complexity, limitations and greedy algorithms

Abstract

We consider the problem of selecting an optimal set of sensors to estimate the states of linear dynamical systems. Specifically, the goal is to choose (at design-time) a subset of sensors (satisfying certain budget constraints) from a given set in order to minimize the trace of the steady state a priori or a posteriori error covariance produced by a Kalman filter. We show that the a priori and a posteriori error covariance-based sensor selection problems are both NP-hard, even under the additional assumption that the system is stable. We then provide bounds on the worst-case performance of sensor selection algorithms based on the system dynamics, and show that greedy algorithms are optimal for a certain class of systems. However, as a negative result, we show that certain typical objective functions are not submodular or supermodular in general. While this makes it difficult to evaluate the performance of greedy algorithms for sensor selection (outside of certain special cases), we show via simulations that these greedy algorithms perform well in practice.