In the Cognitive Compressive Sensing (CCS) problem, a Cognitive Receiver (CR) seeks to optimize the reward obtained by sensing an underlying $N$ dimensional random vector, by collecting at most $K$ arbitrary projections of it. The $N$ components of the latent vector represent sub-channels states, that change dynamically from "busy" to "idle" and vice versa, as a Markov chain that is biased towards producing sparse vectors. To identify the optimal strategy we formulate the Multi-Armed Bandit Compressive Sensing (MAB-CS) problem, generalizing the popular Cognitive Spectrum Sensing model, in which the CR can sense $K$ out of the $N$ sub-channels, as well as the typical static setting of Compressive Sensing, in which the CR observes $K$ linear combinations of the $N$ dimensional sparse vector. The CR opportunistic choice of the sensing matrix should balance the desire of revealing the state of as many dimensions of the latent vector as possible, while not exceeding the limits beyond which the vector support is no longer uniquely identifiable.

Spectrum sensing (SS) in cognitive radio (CR) systems is of paramount importance to approach the capacity limits for the Secondary Users (SU), while ensuring the undisturbed transmission of Primary Users (PU). In this paper, we formulate a cognitive radio (CR)systems spectrum sensing (SS) problem in which Secondary Users (SU), with multiple receive antennae, sense a channel shared among multiple asynchronous Primary Users (PU) transmitting Multiple Input Multiple Output (MIMO) Orthogonal Frequency Division Multiplexing (OFDM) signals. The method we propose to estimate the opportunities available to the SUs combines advances in array processing and compressed channel sensing, and leverages on both the so called "shrinkage method" as well as on an over-complete basis expansion of the PUs interference covariance matrix to detect the occupied and idle angles of arrivals and subcarriers. The covariance "shrinkage" step and the sparse modeling step that follows, allow to resolve ambiguities that arise when the observations are scarce, reducing the sensing cost for the SU, thereby increasing its spectrum exploitation capabilities compared to competing sensing methods. Simulations corroborate that exploiting the sparse representation of the covariance matrix in CR sensing resolves the spatial and frequency spectrum of the sources.