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Optimal Estimation via Nonanticipative Rate Distortion Function and Applications to Time-Varying Gauss--Markov Processes
(2018)
In this paper, we develop finite-time horizon causal filters for general processes taking values in Polish spaces using the nonanticipative rate distortion function ($NRDF$). Subsequently, we apply the $NRDF$ to design ...
Information Structures for Feedback Capacity of Channels With Memory and Transmission Cost: Stochastic Optimal Control and Variational Equalities
(2018)
Stochastic optimal control theory and a variational equality of directed information are applied, to develop a methodology to identify the information structures of optimal channel input conditional distributions, which ...
Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems With Different Information Structures—Part II: Applications
(2018)
In this second part of the two-part paper, a stochastic maximum principle, conditional Hamiltonians, and the coupled backward-forward stochastic differential equations of the first part [1] are employed to derive decentralized ...
Finite-Time Nonanticipative Rate Distortion Function for Time-Varying Scalar-Valued Gauss-Markov Sources
(2018)
We derive the finite-time horizon nonanticipative rate distortion function (NRDF) of timevarying scalar Gauss-Markov sources under an average mean squared-error (MSE) distortion fidelity. Further, we show that a conditionally ...
Capacity Achieving Distributions and Separation Principle for Feedback Gaussian Channels With Memory: the LQG Theory of Directed Information
(2018)
A method is developed to realize optimal channel input conditional distributions, which maximize the finite transmission feedback information (FTFI) capacity, often called $n$ -block length feedback capacity, by information ...
Zero-Delay Rate Distortion via Filtering for Vector-Valued Gaussian Sources
(2018)
We deal with zero-delay source coding of a vector-valued Gauss-Markov source subject to a mean-squared error (MSE) fidelity criterion characterized by the operational zero-delay vector-valued Gaussian rate distortion ...
Infinite Horizon Average Cost Dynamic Programming Subject to Total Variation Distance Ambiguity
(2019)
We analyze the per unit-time infinite horizon average cost Markov control model, subject to a total variation distance ambiguity on the controlled process conditional distribution. This stochastic optimal control problem ...
A state-space approach in modeling multipath fading channels via stochastic differential equations
(2001)
The analysis, modeling and simulation of time-varying multipath wireless fading channels is usually done through input-output descriptions of the channel. In this paper, we introduce the concept of the state of the channel ...
Nonanticipative rate distortion function and relations to filtering theory
(2014)
The relation between nonanticipative rate distortion function (RDF) and filtering theory is discussed on abstract spaces. The relation is established by imposing a realizability constraint on the reconstruction conditional ...
Optimal merging algorithms for lossless codes with generalized criteria
(2014)
This paper presents lossless prefix codes optimized with respect to a payoff criterion consisting of a convex combination of maximum codeword length and average codeword length. The optimal codeword lengths obtained are ...