Multiple sampling for estimation on a finite horizon

Maben Rabi, George V. Moustakides, John S. Baras

Research output: Chapter in Book/Report/Conference proceedingConference contribution

51 Scopus citations

Abstract

We discuss some multiple sampling problems that arise in finite horizon real-time estimation when there is an upper limit on the number of allowable samples. Measuring estimation quality by the aggregate squared error, we compare the performances of the best deterministic, level-triggered and the optimal sampling schemes. We restrict the signal to be either a Wiener or an Ornstein-Uhlenbeck process. For the Wiener process, we provide closed form expressions and series expansions, whereas for the Ornstein Uhlenbeck process, procedures for numerical computation. Our results indicate that the best level-triggered sampling is almost optimal when the signal is stable.

Original languageEnglish (US)
Title of host publicationProceedings of the 45th IEEE Conference on Decision and Control 2006, CDC
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1351-1357
Number of pages7
ISBN (Print)1424401712, 9781424401710
DOIs
StatePublished - 2006
Externally publishedYes
Event45th IEEE Conference on Decision and Control 2006, CDC - San Diego, CA, United States
Duration: Dec 13 2006Dec 15 2006

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0191-2216

Other

Other45th IEEE Conference on Decision and Control 2006, CDC
CountryUnited States
CitySan Diego, CA
Period12/13/0612/15/06

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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