Optimal experiment design in a filtering context with application to sampled network data

We examine the problem of optimal design in the context of filtering multiple random walks. Specifically, we define the steady state E-optimal design criterion and show that the underlying optimization problem leads to a second order cone program. The developed methodology is applied to tracking network flow volumes using sampled data, where the design variable corresponds to controlling the sampling rate. The optimal design is numerically compared to a myopic and a naive strategy. Finally, we relate our work to the general problem of steady state optimal design for state space models.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS283 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Selection of sampling rate for digital control of aircrafts

The considerations in selecting the sample rates for digital control of aircrafts are identified and evaluated using the optimal discrete method. A high performance aircraft model which includes a bending mode and wind gusts was studied. The following factors which influence the selection of the sampling rates were identified: (1) the time and roughness response to control inputs; (2) the response to external disturbances; and (3) the sensitivity to variations of parameters. It was found that the time response to a control input and the response to external disturbances limit the selection of the sampling rate. The optimal discrete regulator, the steady state Kalman filter, and the mean response to external disturbances are calculated

Stochastic Digital Backpropagation with Residual Memory Compensation

Stochastic digital backpropagation (SDBP) is an extension of digital backpropagation (DBP) and is based on the maximum a posteriori principle. SDBP takes into account noise from the optical amplifiers in addition to handling deterministic linear and nonlinear impairments. The decisions in SDBP are taken on a symbol-by-symbol (SBS) basis, ignoring any residual memory, which may be present due to non-optimal processing in SDBP. In this paper, we extend SDBP to account for memory between symbols. In particular, two different methods are proposed: a Viterbi algorithm (VA) and a decision directed approach. Symbol error rate (SER) for memory-based SDBP is significantly lower than the previously proposed SBS-SDBP. For inline dispersion-managed links, the VA-SDBP has up to 10 and 14 times lower SER than DBP for QPSK and 16-QAM, respectively.Comment: 7 pages, accepted to publication in 'Journal of Lightwave Technology (JLT)

Information Loss and Anti-Aliasing Filters in Multirate Systems

This work investigates the information loss in a decimation system, i.e., in a downsampler preceded by an anti-aliasing filter. It is shown that, without a specific signal model in mind, the anti-aliasing filter cannot reduce information loss, while, e.g., for a simple signal-plus-noise model it can. For the Gaussian case, the optimal anti-aliasing filter is shown to coincide with the one obtained from energetic considerations. For a non-Gaussian signal corrupted by Gaussian noise, the Gaussian assumption yields an upper bound on the information loss, justifying filter design principles based on second-order statistics from an information-theoretic point-of-view.Comment: 12 pages; a shorter version of this paper was published at the 2014 International Zurich Seminar on Communication

Delayed Sampling and Automatic Rao-Blackwellization of Probabilistic Programs

We introduce a dynamic mechanism for the solution of analytically-tractable substructure in probabilistic programs, using conjugate priors and affine transformations to reduce variance in Monte Carlo estimators. For inference with Sequential Monte Carlo, this automatically yields improvements such as locally-optimal proposals and Rao-Blackwellization. The mechanism maintains a directed graph alongside the running program that evolves dynamically as operations are triggered upon it. Nodes of the graph represent random variables, edges the analytically-tractable relationships between them. Random variables remain in the graph for as long as possible, to be sampled only when they are used by the program in a way that cannot be resolved analytically. In the meantime, they are conditioned on as many observations as possible. We demonstrate the mechanism with a few pedagogical examples, as well as a linear-nonlinear state-space model with simulated data, and an epidemiological model with real data of a dengue outbreak in Micronesia. In all cases one or more variables are automatically marginalized out to significantly reduce variance in estimates of the marginal likelihood, in the final case facilitating a random-weight or pseudo-marginal-type importance sampler for parameter estimation. We have implemented the approach in Anglican and a new probabilistic programming language called Birch.Comment: 13 pages, 4 figure

Multipath Multiplexing for Capacity Enhancement in SIMO Wireless Systems

This paper proposes a novel and simple orthogonal faster than Nyquist (OFTN) data transmission and detection approach for a single input multiple output (SIMO) system. It is assumed that the signal having a bandwidth $B$ is transmitted through a wireless channel with $L$ multipath components. Under this assumption, the current paper provides a novel and simple OFTN transmission and symbol-by-symbol detection approach that exploits the multiplexing gain obtained by the multipath characteristic of wideband wireless channels. It is shown that the proposed design can achieve a higher transmission rate than the existing one (i.e., orthogonal frequency division multiplexing (OFDM)). Furthermore, the achievable rate gap between the proposed approach and that of the OFDM increases as the number of receiver antennas increases for a fixed value of $L$. This implies that the performance gain of the proposed approach can be very significant for a large-scale multi-antenna wireless system. The superiority of the proposed approach is shown theoretically and confirmed via numerical simulations. {Specifically, we have found {upper-bound average} rates of 15 bps/Hz and 28 bps/Hz with the OFDM and proposed approaches, respectively, in a Rayleigh fading channel with 32 receive antennas and signal to noise ratio (SNR) of 15.3 dB. The extension of the proposed approach for different system setups and associated research problems is also discussed.Comment: IEEE Transactions on Wireless Communication