A Connection between Feedback Capacity and Kalman Filter for Colored Gaussian Noises

Song Fang, Quanyan Zhu

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper, we establish a connection between the feedback capacity of additive colored Gaussian noise channels and the Kalman filters with additive colored Gaussian noises. In light of this, we are able to provide lower bounds on feedback capacity of such channels with finite-order auto-regressive moving average colored noises, and the bounds are seen to be consistent with various existing results in the literature; particularly, the bound is tight in the case of first-order auto-regressive moving average colored noises. On the other hand, the Kalman filtering systems, after certain equivalence transformations, can be employed as recursive coding schemes/algorithms to achieve the lower bounds. In general, our results provide an alternative perspective while pointing to potentially tighter bounds for the feedback capacity problem.

Original languageEnglish (US)
Title of host publication2020 IEEE International Symposium on Information Theory, ISIT 2020 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages2055-2060
Number of pages6
ISBN (Electronic)9781728164328
DOIs
StatePublished - Jun 2020
Event2020 IEEE International Symposium on Information Theory, ISIT 2020 - Los Angeles, United States
Duration: Jul 21 2020Jul 26 2020

Publication series

NameIEEE International Symposium on Information Theory - Proceedings
Volume2020-June
ISSN (Print)2157-8095

Conference

Conference2020 IEEE International Symposium on Information Theory, ISIT 2020
CountryUnited States
CityLos Angeles
Period7/21/207/26/20

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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  • Cite this

    Fang, S., & Zhu, Q. (2020). A Connection between Feedback Capacity and Kalman Filter for Colored Gaussian Noises. In 2020 IEEE International Symposium on Information Theory, ISIT 2020 - Proceedings (pp. 2055-2060). [9174357] (IEEE International Symposium on Information Theory - Proceedings; Vol. 2020-June). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ISIT44484.2020.9174357