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Asymptotic Reverse-Waterfilling Characterization of Nonanticipative Rate Distortion Function of Vector-Valued Gauss-Markov Processes with MSE Distortion
KTH, School of Electrical Engineering and Computer Science (EECS), Information Science and Engineering.
Aalto Univ, Sch Elect Engn, Dept Elect Engn & Automat, Espoo, Finland..
Univ Cyprus, Dept Elect & Comp Engn, Nicosia, Cyprus..
Univ Ottawa, Sch Elect Engn & Comp Sci, Ottawa, ON K1N 6N5, Canada..
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2018 (English)In: 2018 IEEE Conference on Decision and Control (CDC), Institute of Electrical and Electronics Engineers (IEEE), 2018, p. 14-20, article id 8619725Conference paper, Published paper (Refereed)
Abstract [en]

We analyze the asymptotic nonanticipative rate distortion function (NRDF) of vector-valued Gauss-Markov processes subject to a mean-squared error (MSE) distortion function. We derive a parametric characterization in terms of a reverse-waterfilling algorithm, that requires the solution of a matrix Riccati algebraic equation (RAE). Further, we develop an algorithm reminiscent of the classical reverse-waterfilling algorithm that provides an upper bound to the optimal solution of the reverse-waterfilling optimization problem, and under certain cases, it operates at the NRDF. Moreover, using the characterization of the reverse-waterfilling algorithm, we derive the analytical solution of the NRDF, for a simple two-dimensional parallel Gauss-Markov process. The efficacy of our proposed algorithm is demonstrated via an example.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2018. p. 14-20, article id 8619725
Series
IEEE Conference on Decision and Control, ISSN 0743-1546
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-245099DOI: 10.1109/CDC.2018.8619725ISI: 000458114800002Scopus ID: 2-s2.0-85062186156ISBN: 978-1-5386-1395-5 (print)OAI: oai:DiVA.org:kth-245099DiVA, id: diva2:1294616
Conference
57th IEEE Conference on Decision and Control, CDC 2018; Centre of the Fontainebleau in Miami Beach Miami; United States; 17 December 2018 through 19 December 2018
Note

QC 20190308

Available from: 2019-03-08 Created: 2019-03-08 Last updated: 2019-03-08Bibliographically approved

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Skoglund, Mikael

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