Mutual information for stochastic differential equations

Mutual information is calculated for processes described by stochastic differential equations. The expression for the mutual information has an interpretation in filtering theory.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/33555/1/0000056.pd

Capacity of Control for Stochastic Dynamical Systems Perturbed by Mixed Fractional Brownian Motion with Delay in Control

In this paper, we discuss the relationships between capacity of control in entropy theory and intrinsic properties in control theory for a class of finite dimensional stochastic dynamical systems described by a linear stochastic differential equations driven by mixed fractional Brownian motion with delay in control. Stochastic dynamical systems can be described as an information channel between the space of control signals and the state space. We study this control to state information capacity of this channel in continuous time. We turned out that, the capacity of control depends on the time of final state in dynamical systems. By using the analysis and representation of fractional Gaussian process, the closed form of continuous optimal control law is derived. The reached optimal control law maximizes the mutual information between control signals and future state over a finite time horizon. The results obtained here are motivated by control to state information capacity for linear systems in both types deterministic and stochastic models that are widely used to understand information flows in wireless network information theory. The contribution of this paper is that we propose some new relationships between control theory and entropy theoretic properties of stochastic dynamical systems with delay in control. Finally, we present an example that serve to illustrate the relationships between capacity of control and intrinsic properties in control theory.Comment: 17 pages, 2 example

Path mutual information for a class of biochemical reaction networks

Living cells encode and transmit information in the temporal dynamics of biochemical components. Gaining a detailed understanding of the input-output relationship in biological systems therefore requires quantitative measures that capture the interdependence between complete time trajectories of biochemical components. Mutual information provides such a measure but its calculation in the context of stochastic reaction networks is associated with mathematical challenges. Here we show how to estimate the mutual information between complete paths of two molecular species that interact with each other through biochemical reactions. We demonstrate our approach using three simple case studies.Comment: 6 pages, 2 figure

A non-adapted sparse approximation of PDEs with stochastic inputs

We propose a method for the approximation of solutions of PDEs with stochastic coefficients based on the direct, i.e., non-adapted, sampling of solutions. This sampling can be done by using any legacy code for the deterministic problem as a black box. The method converges in probability (with probabilistic error bounds) as a consequence of sparsity and a concentration of measure phenomenon on the empirical correlation between samples. We show that the method is well suited for truly high-dimensional problems (with slow decay in the spectrum)