Optimal Estimation via Nonanticipative Rate Distortion Function and Applications to Time-Varying Gauss--Markov Processes

DOI10.1137/17M1116349zbMath1401.93206arXiv1603.04172OpenAlexW2963475956WikidataQ58037972 ScholiaQ58037972MaRDI QIDQ4691149

Photios A. Stavrou, Sergey Loyka, Themistoklis Charalambous, Charalambos D. Charalambous

Publication date: 18 October 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.04172

zbMATH Keywords

universal lower boundcausal filtersdynamic reverse-waterfillingmean-squared error distortionnonanticipative rate distortion function

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Software, source code, etc. for problems pertaining to systems and control theory (93-04)

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