Directed Information, Causal Estimation, and Communication in Continuous Time
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Publication:2989342
Abstract: A notion of directed information between two continuous-time processes is proposed. A key component in the definition is taking an infimum over all possible partitions of the time interval, which plays a role no less significant than the supremum over "space" partitions inherent in the definition of mutual information. Properties and operational interpretations in estimation and communication are then established for the proposed notion of directed information. For the continuous-time additive white Gaussian noise channel, it is shown that Duncan's classical relationship between causal estimation and information continues to hold in the presence of feedback upon replacing mutual information by directed information. A parallel result is established for the Poisson channel. The utility of this relationship is then demonstrated in computing the directed information rate between the input and output processes of a continuous-time Poisson channel with feedback, where the channel input process is constrained to be constant between events at the channel output. Finally, the capacity of a wide class of continuous-time channels with feedback is established via directed information, characterizing the fundamental limit on reliable communication.
Cited in
(6)- Information Structures, Causality, and Nonsequential Stochastic Control. II: Design-Dependent Properties
- Information-Theoretic Causal Power
- Information thermodynamics for interacting stochastic systems without bipartite structure
- Estimating the Directed Information and Testing for Causality
- Information exchange in causally non-separable processes
- Relations between information and estimation in the presence of feedback
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