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

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Conference article in proceedings
Date
2019-01-18
Major/Subject
Mcode
Degree programme
Language
en
Pages
7
14-20
Series
Proceedings of 57th IEEE Conference on Decision and Control, CDC 2018, Proceedings of the IEEE Conference on Decision & Control
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.
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Keywords
distortion, RNA, symmetric matrices, rate-distortion, resource description framework, entropy, optimization
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Citation
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 . , 8619725 , Proceedings of the IEEE Conference on Decision & Control , IEEE , pp. 14-20 , IEEE Conference on Decision and Control , Miami , Florida , United States , 17/12/2018 . https://doi.org/10.1109/CDC.2018.8619725