dc.contributor.author | Stavrou, Photios A. | en |
dc.contributor.author | Charalambous, Themistoklis | en |
dc.contributor.author | Charalambous, Charalambos D. | en |
dc.contributor.author | Loyka, Sergey | en |
dc.creator | Stavrou, Photios A. | en |
dc.creator | Charalambous, Themistoklis | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.creator | Loyka, Sergey | en |
dc.date.accessioned | 2021-01-26T09:45:29Z | |
dc.date.available | 2021-01-26T09:45:29Z | |
dc.date.issued | 2018 | |
dc.identifier.issn | 0363-0129 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/63246 | |
dc.description.abstract | 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 optimal filters for time-varying vector-valued Gauss--Markov processes, subject to a mean-squared error ($MSE$) distortion. Unlike the classical Kalman filter design, the developed filters based on the $NRDF$ are characterized parametrically by a dynamic reverse-waterfilling optimization problem obtained via Karush--Kuhn--Tucker conditions. We develop algorithms that provide, in general, tight upper bounds to the optimal solution to the dynamic reverse-waterfilling optimization problem subject to a total and per-letter $MSE$ distortion constraint. Under certain conditions, these algorithms produce the optimal solutions. Further, we establish a universal lower bound on the total and per-letter $MSE$ of any estimator of a Gaussian random process. Our theoretical framework is demonstrated via simple examples. | en |
dc.source | SIAM Journal on Control and Optimization | en |
dc.source.uri | https://epubs.siam.org/doi/abs/10.1137/17M1116349 | |
dc.title | Optimal Estimation via Nonanticipative Rate Distortion Function and Applications to Time-Varying Gauss--Markov Processes | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1137/17M1116349 | |
dc.description.volume | 56 | |
dc.description.issue | 5 | |
dc.description.startingpage | 3731 | |
dc.description.endingpage | 3765 | |
dc.author.faculty | Πολυτεχνική Σχολή / Faculty of Engineering | |
dc.author.department | Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering | |
dc.type.uhtype | Article | en |
dc.source.abbreviation | SIAM J. Control Optim. | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.contributor.orcid | Charalambous, Themistoklis [0000-0003-4800-6738] | |
dc.gnosis.orcid | 0000-0002-2168-0231 | |
dc.gnosis.orcid | 0000-0003-4800-6738 | |