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Estimation and identification of time-varying long-term fading channels via the particle filter and the em algorithm
(2011)
In this paper, we are concerned with the estimation and identification of time-varying wireless longterm fading channels. The dynamics of the fading channels are captured using a mean-reverting linear stochastic differential ...
Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part II: Applications
(2017)
In this second part of the two-part paper, a stochastic maximum principle, conditional Hamiltonians and the coupled backward-forward stochastic differential equations (SDEs) of the first part [1] are employed to derive ...
Stochastic nonlinear minimax dynamic games with noisy measurements
(2003)
This note is concerned with nonlinear stochastic minimax dynamic games which are subject to noisy measurements. The minimizing players are control inputs while the maximizing players are square-integrable stochastic ...
Conditional moment generating functions for integrals and stochastic integrals
(2003)
In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...
A sufficient condition for decentralized non-cooperative stochastic differential games and relations to mean field games
(Institute of Electrical and Electronics Engineers Inc., 2015)
In this paper we use martingale techniques to derive a sufficient condition for existence of decentralized strategies in non-cooperative stochastic differential games. The sufficient condition is given by decentralized ...
Team optimality conditions of differential decision systems with nonclasssical information structures
(Institute of Electrical and Electronics Engineers Inc., 2014)
We derive team optimality conditions for differential decision systems with nonclassical information structures. The necessary conditions of optimality are given in terms of Hamiltonian system of equations consisting of a ...
Stochastic power control for short-term flat fading wireless networks: Almost sure QoS measures
(2001)
The power control of wireless networks is formulated using a stochastic optimal control framework, in which the evolution of the channel is described by stochastic differential equations. Under this scenario, average and ...
Role of measure-valued decompositions in stochastic control
(American Automatic Control Council, 1994)
Following up the measure-valued decompositions of Kunita [1], and the martingale representation result for L2-processes of Bensoussan [2], we have recently derived in [3], necessary conditions of optimizing nonlinear ...
General non-stationary models for short-term and long-term fading channels
(Institute of Electrical and Electronics Engineers Inc., 2000)
This paper discusses the use of stochastic differential equations to model signal envelope variations over large areas, which are subject to long-term fading effects from the transmitter to local areas, followed by short-term ...
Stochastic power control for time-varying long-term fading wireless networks
(2006)
A new time-varying (TV) long-term fading (LTF) channel model which captures both the space and time variations of wireless systems is developed. The proposed TV LTF model is based on a stochastic differential equation ...