Type:
Conference Paper›Invited and refereed articles in conference proceedings
Authored by:
Rabi, Maben., Baras, John S.
Conference date:
December 14-17, 2004
Conference:
43rd IEEE Conference on Decision and Control, pp. 4163-4168
Full Text Paper:
Abstract:
This paper addresses the causal sampling of observations of a diffusion process that results in a good quality continuous estimator based upon these samples. The optimal sampling scheme with a fixed number of samples is found by solving an optimal (multiple) stopping problem. This is solved explicitly in a special case. A class of threshold approximations is also described.