On the Complexity and Approximability of Optimal Sensor Selection for Kalman Filtering
For control and estimation engineers, this work establishes fundamental limits on the tractability of sensor selection, showing that constant-factor approximations are impossible, unlike other sensor selection problems.
The paper proves that optimal sensor selection for Kalman filtering is NP-hard even for stable systems with identical sensor costs, and establishes that no constant-factor polynomial-time approximation algorithm exists. It also demonstrates that greedy algorithms can perform arbitrarily poorly.
Given a linear dynamical system, we consider the problem of selecting (at design-time) an optimal set of sensors (subject to certain budget constraints) to minimize the trace of the steady state error covariance matrix of the Kalman filter. Previous work has shown that this problem is NP-hard for certain classes of systems and sensor costs; in this paper, we show that the problem remains NP-hard even for the special case where the system is stable and all sensor costs are identical. Furthermore, we show the stronger result that there is no constant-factor (polynomial-time) approximation algorithm for this problem. This contrasts with other classes of sensor selection problems studied in the literature, which typically pursue constant-factor approximations by leveraging greedy algorithms and submodularity of the cost function. Here, we provide a specific example showing that greedy algorithms can perform arbitrarily poorly for the problem of design-time sensor selection for Kalman filtering.