Adaptive sampling for linear state estimation

DOI10.1137/090757125zbMATH Open1318.62268arXiv0904.4358OpenAlexW2963674785MaRDI QIDQ2903499FDOQ2903499

Authors: Maben Rabi, John S. Baras 

Publication date: 10 August 2012

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

Abstract: When a sensor has continuous measurements but sends limited messages over a data network to a supervisor which estimates the state, the available packet rate fixes the achievable quality of state estimation. When such rate limits turn stringent, the sensor's messaging policy should be designed anew. What are the good causal messaging policies ? What should message packets contain ? What is the lowest possible distortion in a causal estimate at the supervisor ? Is Delta sampling better than periodic sampling ? We answer these questions under an idealized model of the network and the assumption of perfect measurements at the sensor. For a scalar, linear diffusion process, we study the problem of choosing the causal sampling times that will give the lowest aggregate squared error distortion. We stick to finite-horizons and impose a hard upper bound on the number of allowed samples. We cast the design as a problem of choosing an optimal sequence of stopping times. We reduce this to a nested sequence of problems each asking for a single optimal stopping time. Under an unproven but natural assumption about the least-square estimate at the supervisor, each of these single stopping problems are of standard form. The optimal stopping times are random times when the estimation error exceeds designed envelopes. For the case where the state is a Brownian motion, we give analytically: the shape of the optimal sampling envelopes, the shape of the envelopes under optimal Delta sampling, and their performances. Surprisingly, we find that Delta sampling performs badly. Hence, when the rate constraint is a hard limit on the number of samples over a finite horizon, we should should not use Delta sampling.

Full work available at URL: https://arxiv.org/abs/0904.4358

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Mathematics Subject Classification ID

Source coding (94A29) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Sampling theory in information and communication theory (94A20)

Cited In (15)

• On signalling and estimation limits for molecular birth-processes
• Adaptive high-gain \(\lambda\)-tracking with variable sampling rate
• Event-based state estimation of linear dynamic systems with unknown exogenous inputs
• An event-triggered approach to state estimation with multiple point- and set-valued measurements
• Event-triggered maximum likelihood state estimation
• Event-triggered distributed estimation with decaying communication rate
• Optimal sampling policy of multi-dimensional Wiener processes with random delivery time
• Event-based state estimation of discrete-state hidden Markov models
• Global sampling for sequential filtering over discrete state space
• On time-triggered and event-based control of integrator systems over a shared communication system
• A bi-level approach for the design of event-triggered control systems over a shared network
• Measure-adaptive state-space construction
• Asymptotically optimal parameter estimation under communication constraints
• Event-triggered robust state estimation for systems with unknown exogenous inputs
• Try-once-discard scheduling for stochastic networked control systems

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