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

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

2010-10-06

arxiv.org/abs/1010.1126v1

Annals of Applied Statistics 2010, Vol. 4, No. 1, 78-93

Statistics

Applications

Published in at http://dx.doi.org/10.1214/09-AOAS283 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Ins

Scientific paper

10.1214/09-AOAS283

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.

Affiliated with

Also associated with

No associations

Rating

Optimal experiment design in a filtering context with application to sampled network data does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Optimal experiment design in a filtering context with application to sampled network data, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal experiment design in a filtering context with application to sampled network data will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-427623