Universal Nonlinear Filtering Using Feynman Path Integrals II: The Continuous-Continuous Model with Additive Noise

In this paper, the Feynman path integral formulation of the continuous-continuous filtering problem, a fundamental problem of applied science, is investigated for the case when the noise in the signal and measurement model is additive. It is shown that it leads to an independent and self-contained analysis and solution of the problem. A consequence of this analysis is Feynman path integral formula for the conditional probability density that manifests the underlying physics of the problem. A corollary of the path integral formula is the Yau algorithm that has been shown to be superior to all other known algorithms. The Feynman path integral formulation is shown to lead to practical and implementable algorithms. In particular, the solution of the Yau PDE is reduced to one of function computation and integration.Comment: Interdisciplinary, 41 pages, 5 figures, JHEP3 class; added more discussion and reference

Euclidean Quantum Mechanics and Universal Nonlinear Filtering

An important problem in applied science is the continuous nonlinear filtering problem, i.e., the estimation of a Langevin state that is observed indirectly. In this paper, it is shown that Euclidean quantum mechanics is closely related to the continuous nonlinear filtering problem. The key is the configuration space Feynman path integral representation of the fundamental solution of a Fokker-Planck type of equation termed the Yau Equation of continuous-continuous filtering. A corollary is the equivalence between nonlinear filtering problem and a time-varying Schr\"odinger equation.Comment: 19 pages, LaTeX, interdisciplinar

On the Gaussian Many-to-One X Channel

In this paper, the Gaussian many-to-one X channel, which is a special case of general multiuser X channel, is studied. In the Gaussian many-to-one X channel, communication links exist between all transmitters and one of the receivers, along with a communication link between each transmitter and its corresponding receiver. As per the X channel assumption, transmission of messages is allowed on all the links of the channel. This communication model is different from the corresponding many-to-one interference channel (IC). Transmission strategies which involve using Gaussian codebooks and treating interference from a subset of transmitters as noise are formulated for the above channel. Sum-rate is used as the criterion of optimality for evaluating the strategies. Initially, a $3 \times 3$ many-to-one X channel is considered and three transmission strategies are analyzed. The first two strategies are shown to achieve sum-rate capacity under certain channel conditions. For the third strategy, a sum-rate outer bound is derived and the gap between the outer bound and the achieved rate is characterized. These results are later extended to the $K \times K$ case. Next, a region in which the many-to-one X channel can be operated as a many-to-one IC without loss of sum-rate is identified. Further, in the above region, it is shown that using Gaussian codebooks and treating interference as noise achieves a rate point that is within $K/2 -1$ bits from the sum-rate capacity. Subsequently, some implications of the above results to the Gaussian many-to-one IC are discussed. Transmission strategies for the many-to-one IC are formulated and channel conditions under which the strategies achieve sum-rate capacity are obtained. A region where the sum-rate capacity can be characterized to within $K/2-1$ bits is also identified.Comment: Submitted to IEEE Transactions on Information Theory; Revised and updated version of the original draf

Almost Budget Balanced Mechanisms with Scalar Bids For Allocation of a Divisible Good

This paper is about allocation of an infinitely divisible good to several rational and strategic agents. The allocation is done by a social planner who has limited information because the agents' valuation functions are taken to be private information known only to the respective agents. We allow only a scalar signal, called a bid, from each agent to the social planner. Yang and Hajek [Jour. on Selected Areas in Comm., 2007] as well as Johari and Tsitsiklis [Jour. of Oper. Res., 2009] proposed a scalar strategy Vickrey-Clarke-Groves (SSVCG) mechanism with efficient Nash equilibria. We consider a setting where the social planner desires minimal budget surplus. Example situations include fair sharing of Internet resources and auctioning of certain public goods where revenue maximization is not a consideration. Under the SSVCG framework, we propose a mechanism that is efficient and comes close to budget balance by returning much of the payments back to the agents in the form of rebates. We identify a design criterion for {\em almost budget balance}, impose feasibility and voluntary participation constraints, simplify the constraints, and arrive at a convex optimization problem to identify the parameters of the rebate functions. The convex optimization problem has a linear objective function and a continuum of linear constraints. We propose a solution method that involves a finite number of constraints, and identify the number of samples sufficient for a good approximation.Comment: Accepted for publication in the European Journal of Operational Research (EJOR