Sampling multidimensional Wiener processes

Kamil Nar, Tamer Basar

Research output: Contribution to journalConference article

Abstract

In this paper, we formulate an optimal scheduling problem in continuous time for transmitting samples of a multidimensional Wiener process when there is a constraint on the communication between the observer and the estimator. We provide the optimal policy for both finite horizon and infinite horizon, and show that event-triggered sampling with constant threshold is optimal over infinite horizon when there is a hard constraint on the average frequency of communication.

Original languageEnglish (US)
Article number7039920
Pages (from-to)3426-3431
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
Volume2015-February
Issue numberFebruary
DOIs
StatePublished - Jan 1 2014
Event2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014 - Los Angeles, United States
Duration: Dec 15 2014Dec 17 2014

Fingerprint

Wiener Process
Infinite Horizon
Sampling
Optimal Scheduling
Finite Horizon
Communication
Optimal Policy
Scheduling Problem
Continuous Time
Observer
Scheduling
Estimator

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

Cite this

Sampling multidimensional Wiener processes. / Nar, Kamil; Basar, Tamer.

In: Proceedings of the IEEE Conference on Decision and Control, Vol. 2015-February, No. February, 7039920, 01.01.2014, p. 3426-3431.

Research output: Contribution to journalConference article

Nar, Kamil ; Basar, Tamer. / Sampling multidimensional Wiener processes. In: Proceedings of the IEEE Conference on Decision and Control. 2014 ; Vol. 2015-February, No. February. pp. 3426-3431.
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