Optimal Sampling and Remote Estimation of the Wiener Process over a Channel with Random Delay

In this paper, we consider a sampling and remote estimation problem, where samples of a Wiener process are forwarded to a remote estimator via a channel with queueing and random delay. The estimator reconstructs an estimate of the realtime signal value from causally received samples. We obtain the jointly optimal sampling and estimation strategy that minimizes the mean-square estimation error subject to a maximum sampling rate constraint. We prove that a threshold-based sampler and a minimum mean-square error (MMSE) estimator are jointly optimal, and the optimal threshold is found exactly. Our jointly optimal solution exhibits an interesting coupling between the source and channel, which is different from the source-channel separation in many previous information theoretical studies. If the sampling times are independent of the observed Wiener process, the joint sampling and estimation optimization problem reduces to an age-of-information optimization problem that has been recently solved. Our theoretical and numerical comparisons show that the estimation error of the optimal sampling policy can be much smaller than those of age-optimal sampling, zero-wait sampling, and classic periodic sampling.