Optimal stochastic parameter design for estimation problems

Date

2012

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Abstract

In this study, the aim is to perform optimal stochastic parameter design in order to minimize the cost of a given estimator. Optimal probability distributions of signals corresponding to different parameters are obtained in the presence and absence of an average power constraint. It is shown that the optimal parameter design results in either a deterministic signal or a randomization between two different signal levels. In addition, sufficient conditions are obtained to specify the cases in which improvements over the deterministic parameter design can or cannot be achieved via the stochastic parameter design. Numerical examples are presented in order to provide illustrations of theoretical results.

Source Title

IEEE Transactions on Signal Processing

Publisher

Institute of Electrical and Electronics Engineers

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Published Version (Please cite this version)

Language

English