Fig. 7

Covariance sketching as initialization for Info-Greedy Sensing. Sorted estimation error in 500 trials. In this example, signal dimension n=10, there are m=40 sketches; thus, the dimensional reduction ratio is 40/10²=0.4. The errors of covariance sketching are higher than using the direct covariance estimation as initialization (to achieve the goal of dimensionality reduction); however, note that the errors of covariance sketching are still much below the pre-specified error tolerance ε=0.1 and thus are acceptable