Optimal Causal Rate-Constrained Sampling for a Class of Continuous Markov Processes

Consider the following communication scenario. An encoder observes a stochastic process and causally decides when and what to transmit about it, under a constraint on bits transmitted per second. A decoder uses the received codewords to causally estimate the process in real time. The encoder and the decoder are synchronized in time. We aim to find the optimal encoding and decoding policies that minimize the end-to-end estimation mean-square error under the rate constraint. For a class of continuous Markov processes satisfying regularity conditions, we show that the optimal encoding policy transmits a 1-bit codeword once the process innovation passes one of two thresholds. The optimal decoder noiselessly recovers the last sample from the 1-bit codewords and codeword-generating time stamps, and uses it as the running estimate of the current process, until the next codeword arrives. In particular, we show the optimal causal code for the Ornstein-Uhlenbeck process and calculate its distortion-rate function

A Linear Programming Approach to Sequential Hypothesis Testing

Under some mild Markov assumptions it is shown that the problem of designing optimal sequential tests for two simple hypotheses can be formulated as a linear program. The result is derived by investigating the Lagrangian dual of the sequential testing problem, which is an unconstrained optimal stopping problem, depending on two unknown Lagrangian multipliers. It is shown that the derivative of the optimal cost function with respect to these multipliers coincides with the error probabilities of the corresponding sequential test. This property is used to formulate an optimization problem that is jointly linear in the cost function and the Lagrangian multipliers and an be solved for both with off-the-shelf algorithms. To illustrate the procedure, optimal sequential tests for Gaussian random sequences with different dependency structures are derived, including the Gaussian AR(1) process.Comment: 25 pages, 4 figures, accepted for publication in Sequential Analysi