Sampling of Diffusion Processes for Real-Time Estimation

Sampling of Diffusion Processes for Real-Time Estimation

Title : Sampling of Diffusion Processes for Real-Time Estimation
Authors :
Rabi, Maben
Baras, John, S.
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.

Download Full Paper