SIAM Journal on Control and Optimization, Vol.56, No.5, 3731-3765, 2018
OPTIMAL ESTIMATION VIA NONANTICIPATIVE RATE DISTORTION FUNCTION AND APPLICATIONS TO TIME-VARYING GAUSS-MARKOV PROCESSES
In this paper, we develop finite-time horizon causal filters for general processes taking values in Polish spaces using the nonanticipative rate distortion function (NRDF). Subsequently, we apply the NRDF to design optimal filters for time-varying vector-valued Gauss-Markov processes, subject to a mean-squared error (MSE) distortion. Unlike the classical Kalman filter design, the developed filters based on the NRDF are characterized parametrically by a dynamic reverse-waterfilling optimization problem obtained via Karush-Kuhn-Tucker conditions. We develop algorithms that provide, in general, tight upper bounds to the optimal solution to the dynamic reverse-waterfilling optimization problem subject to a total and per-letter MSE distortion constraint. Under certain conditions, these algorithms produce the optimal solutions. Further, we establish a universal lower bound on the total and per-letter MSE of any estimator of a Gaussian random process. Our theoretical framework is demonstrated via simple examples.
Keywords:causal filters;nonanticipative rate distortion function;mean-squared error distortion;dynamic reverse-waterfilling;universal lower bound