Finite-time nonanticipative rate distortion function for time-varying scalar-valued Gauss-Markov sources

Photios A. Stavrou*, Themistoklis Charalambous, Charalambos D. Charalambous

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

12 Citations (Scopus)


We derive the finite-time horizon nonanticipative rate distortion function (NRDF) of timevarying scalar Gauss-Markov sources under an average mean squared-error (MSE) distortion fidelity. Further, we show that a conditionally Gaussian reproduction process realizes the optimal reproduction distribution, and this is determined from the solution of a dynamic reversewaterfilling optimization problem. We provide an iterative algorithm that approximates the solution of the dynamic reverse-waterfilling problem. From the above results, we also obtain, as a special case, the NRDF under a per-letter or pointwise MSE distortion fidelity, and we draw connections to the classical RDF of Gaussian processes. Our results are corroborated with illustrative examples.

Original languageEnglish
Pages (from-to)175-180
Number of pages6
JournalIEEE Control Systems Letters
Issue number1
Publication statusPublished - 1 Jan 2018
MoE publication typeA1 Journal article-refereed


  • Dynamic reverse-waterfilling
  • Finite-time
  • Mean squarederror distortion
  • Nonanticipative rate distortion function
  • Scalar Gauss-Markov processes


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