Nonanticipative Rate Distortion Function and Relations to Filtering Theory

DOI10.1109/TAC.2013.2293403MaRDI QIDQ2983199zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Photios A. Stavrou, Charalambos D. Charalambous, N. U. Ahmed

Publication date 16 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.1266

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Measures of information, entropy (94A17)

Abstract: 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 distribution of the classical RDF. Existence of the extremum solution of the nonanticipative RDF is shown using weak${}^{\ast }$-convergence on appropriate topology. The extremum reconstruction conditional distribution is derived in closed form, for the case of stationary processes. The realization of the reconstruction conditional distribution which achieves the infimum of the nonanticipative RDF is described. Finally, an example is presented to illustrate the concepts.

Cited in

(5)

• On the tightness of linear policies for stabilization of linear systems over Gaussian networks
• Distortion Rate Function of Sub-Nyquist Sampled Gaussian Sources
• Directed information on abstract spaces: properties and extremum problems
• Optimal estimation via nonanticipative rate distortion function and applications to time-varying Gauss-Markov processes
• Nonanticipative Duality of Sources and Channels with Memory and Feedback

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