Title :
Sampling multidimensional Wiener processes
Author :
Nar, Kamil ; Basar, Tamer
Author_Institution :
Dept. of Electr. & Comput. Eng., Univ. of Illinois at Urbana-Champaign, Urbana, IL, USA
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.
Keywords :
infinite horizon; multidimensional systems; observers; sampling methods; stochastic processes; average communication frequency; continuous time; event-triggered sampling; finite horizon; hard constraint; infinite horizon; multidimensional Wiener process sampling; observer estimator communication; optimal constant threshold; optimal policy; optimal scheduling problem; Dynamic programming; Laboratories; Observers; Optimal scheduling; Time-frequency analysis; Vectors;
Conference_Titel :
Decision and Control (CDC), 2014 IEEE 53rd Annual Conference on
Conference_Location :
Los Angeles, CA
Print_ISBN :
978-1-4799-7746-8
DOI :
10.1109/CDC.2014.7039920
