Search
Now showing items 1-10 of 265
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 ...
Control-Coding Capacity of Decision Models Driven by Correlated Noise and Gaussian Application Examples
(2018)
We characterize the n -finite time feedback information (FTFI) control-coding capacity of decision models (DMs) driven by correlated noise. Under information stability the per unit limit, called control-coding (CC) capacity ...
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 ...
A Sufficient Condition for General Decentralized Cooperative Stochastic Differential Games
(IEEE, 2018)
Martingale techniques are applied to derive sufficient decentralized optimality conditions for general stochastic differential games, with multiple Decision Makers (DMs), who aim at optimizing a common pay-off, based on ...
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 ...
Robust Linear Quadratic Regulator for Markov Jump Systems
(2019)
Tzortzis, I. and Charalambous, C. D. and c, C. N.
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 ...
Asymptotic Reverse-Waterfilling Characterization of Nonanticipative Rate Distortion Function of Vector-Valued Gauss-Markov Processes with MSE Distortion
(IEEE, 2018)
In this paper, we revisit the asymptotic reverse-waterfilling characterization of the nonanticipative rate distortion function (NRDF) derived for a time-invariant multidimensional Gauss-Markov processes with mean-squared ...