Nonanticipative Rate Distortion Function and Relations to Filtering Theory

DOI10.1109/TAC.2013.2293403zbMATH Open1360.93690DBLPjournals/tac/CharalambousSA14arXiv1210.1266OpenAlexW3106259297WikidataQ58037987 ScholiaQ58037987MaRDI QIDQ2983199FDOQ2983199

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)

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.

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)

Cited In (5)

• 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
• On the tightness of linear policies for stabilization of linear systems over Gaussian networks
• Distortion Rate Function of Sub-Nyquist Sampled Gaussian Sources

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