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On Construction of Asymptotically Optimal Strategies in Estimation Problem for Controlled Systems

  • V. G. Spokoiny
Part of the Progress in Systems and Control Theory book series (PSCT, volume 10)

Abstract

We consider the problems which relate to sequential experimental design. The general framework for sequential experimental design with discrete time was given by Chernoff [1] (see also [2]). But we consider a particular model in continuous time.

Keywords

Control Rule Standard Wiener Process Natural Filtration Nonsingular Point Minimax Risk 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. [1]
    Chernoff, H. (1972) Sequential Analysis and Optimal Design. SIAM.Google Scholar
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    Malutov, M.B. Lower bounds for mean duration of a sequential design. Soviet Math. (IZ. VUZ) 27, pp. 21–47.Google Scholar
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    Fedorov, V.V. (1971) Optimal experimental designs. Nauka, Moscow, USSR.Google Scholar
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    Wynn, H. (1973) Results in the theory and construction of D-optimum experimental design. J. Royal Stat. Soc, Ser. B 35, pp. 123–130.Google Scholar
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    Ibragimov, I.A. and R.Z. Has’minskii. (1981) Statistical Estimation. Asymptotic Theory. Springer, New York, ets.Google Scholar
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    Efroimovich, S.E. (1980) On sequential estimation under LAN condition.Theory Prob. and Appl., Mos. 25, pp. 30–43.Google Scholar
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    Boll, C.H. (1955) Comparison of Experiments in the Infinite Case. Ph.D. Thesis. Stanford University.Google Scholar

Copyright information

© Springer Science+Business Media New York 1991

Authors and Affiliations

  • V. G. Spokoiny
    • 1
  1. 1.Institute for Problems of Information TransmissionU.S.S.R. Academy of SciencesMoscowRussia

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