Data sketching for large-scale Kalman filtering

In an age of exponentially increasing data generation, performing inference tasks by utilizing the available information in its entirety is not always an affordable option. The present paper puts forth approaches to render tracking of large-scale dynamic processes affordable, by processing a reduced number of data. Two distinct methods are introduced for reducing the number of data involved per time step. The first method builds on reduction using low-complexity random projections, while the second performs censoring for data-adaptive measurement selection. Simulations on synthetic data, compare the proposed methods with competing alternatives, and corroborate their efficacy in terms of estimation accuracy over complexity reduction.