Sampling of Diffusion Processes for Real-Time Estimation
Title : Sampling of Diffusion Processes for Real-Time Estimation
Authors :
Conference : 43rd IEEE Conference on Decision and Control pp. 4163-4168
Date: December 14 - December 17, 2004
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Authors :
Baras, John S.
Rabi, Maben
Rabi, Maben
Conference : 43rd IEEE Conference on Decision and Control pp. 4163-4168
Date: December 14 - December 17, 2004
This paper addresses the causal sampling of observations of a diffusion process that results in a good quality continuous estimator based upon these samples. The optimal sampling scheme with a fixed number of samples is found by solving an optimal (multiple) stopping problem. This is solved explicitly in a special case. A class of threshold approximations is also described.