Asymptotic Reverse-Waterfilling Characterization of Nonanticipative Rate Distortion Function of Vector-Valued Gauss-Markov Processes with MSE Distortion

Photios A. Stavrou, Themistoklis Charalambous, Charalambos D. Charalambous, Sergey Loyka, Mikael Skoglund

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

2 Citations (Scopus)
141 Downloads (Pure)

Abstract

We analyze the asymptotic nonanticipative rate distortion function (NRDF) of vector-valued Gauss-Markov processes subject to a mean-squared error (MSE) distortion function. We derive a parametric characterization in terms of a reverse-waterfilling algorithm, that requires the solution of a matrix Riccati algebraic equation (RAE). Further, we develop an algorithm reminiscent of the classical reverse-waterfilling algorithm that provides an upper bound to the optimal solution of the reverse-waterfilling optimization problem, and under certain cases, it operates at the NRDF. Moreover, using the characterization of the reverse-waterfilling algorithm, we derive the analytical solution of the NRDF, for a simple two-dimensional parallel Gauss-Markov process. The efficacy of our proposed algorithm is demonstrated via an example.

Original languageEnglish
Title of host publicationProceedings of 57th IEEE Conference on Decision and Control, CDC 2018
PublisherIEEE
Pages14-20
Number of pages7
ISBN (Electronic)9781538613955
DOIs
Publication statusPublished - 18 Jan 2019
MoE publication typeA4 Article in a conference publication
EventIEEE Conference on Decision and Control - Miami, United States
Duration: 17 Dec 201819 Dec 2018
Conference number: 57

Publication series

NameProceedings of the IEEE Conference on Decision & Control
ISSN (Print)0743-1546

Conference

ConferenceIEEE Conference on Decision and Control
Abbreviated titleCDC
CountryUnited States
CityMiami
Period17/12/201819/12/2018

Keywords

  • distortion
  • RNA
  • symmetric matrices
  • rate-distortion
  • resource description framework
  • entropy
  • optimization

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    Stavrou, P. A., Charalambous, T., Charalambous, C. D., Loyka, S., & Skoglund, M. (2019). Asymptotic Reverse-Waterfilling Characterization of Nonanticipative Rate Distortion Function of Vector-Valued Gauss-Markov Processes with MSE Distortion. In Proceedings of 57th IEEE Conference on Decision and Control, CDC 2018 (pp. 14-20). [8619725] (Proceedings of the IEEE Conference on Decision & Control). IEEE. https://doi.org/10.1109/CDC.2018.8619725