Improved Upper Bounds to the Causal Quadratic Rate-Distortion Function for Gaussian Stationary Sources

We improve the existing achievable rate regions for causal and for zero-delay source coding of stationary Gaussian sources under an average mean squared error (MSE) distortion measure. To begin with, we find a closed-form expression for the information-theoretic causal rate-distortion function (RDF) under such distortion measure, denoted by $R_{c}^{it}(D)$, for first-order Gauss-Markov processes. Rc^{it}(D) is a lower bound to the optimal performance theoretically attainable (OPTA) by any causal source code, namely Rc^{op}(D). We show that, for Gaussian sources, the latter can also be upper bounded as Rc^{op}(D)\leq Rc^{it}(D) + 0.5 log_{2}(2\pi e) bits/sample. In order to analyze $R_{c}^{it}(D)$ for arbitrary zero-mean Gaussian stationary sources, we introduce \bar{Rc^{it}}(D), the information-theoretic causal RDF when the reconstruction error is jointly stationary with the source. Based upon \bar{Rc^{it}}(D), we derive three closed-form upper bounds to the additive rate loss defined as \bar{Rc^{it}}(D) - R(D), where R(D) denotes Shannon's RDF. Two of these bounds are strictly smaller than 0.5 bits/sample at all rates. These bounds differ from one another in their tightness and ease of evaluation; the tighter the bound, the more involved its evaluation. We then show that, for any source spectral density and any positive distortion D\leq \sigma_{x}^{2}, \bar{Rc^{it}}(D) can be realized by an AWGN channel surrounded by a unique set of causal pre-, post-, and feedback filters. We show that finding such filters constitutes a convex optimization problem. In order to solve the latter, we propose an iterative optimization procedure that yields the optimal filters and is guaranteed to converge to \bar{Rc^{it}}(D). Finally, by establishing a connection to feedback quantization we design a causal and a zero-delay coding scheme which, for Gaussian sources, achieves...Comment: 47 pages, revised version submitted to IEEE Trans. Information Theor

An Upper Bound to Zero-Delay Rate Distortion via Kalman Filtering for Vector Gaussian Sources

We deal with zero-delay source coding of a vector Gaussian autoregressive (AR) source subject to an average mean squared error (MSE) fidelity criterion. Toward this end, we consider the nonanticipative rate distortion function (NRDF) which is a lower bound to the causal and zero-delay rate distortion function (RDF). We use the realization scheme with feedback proposed in [1] to model the corresponding optimal "test-channel" of the NRDF, when considering vector Gaussian AR(1) sources subject to an average MSE distortion. We give conditions on the vector Gaussian AR(1) source to ensure asymptotic stationarity of the realization scheme (bounded performance). Then, we encode the vector innovations due to Kalman filtering via lattice quantization with subtractive dither and memoryless entropy coding. This coding scheme provides a tight upper bound to the zero-delay Gaussian RDF. We extend this result to vector Gaussian AR sources of any finite order. Further, we show that for infinite dimensional vector Gaussian AR sources of any finite order, the NRDF coincides with the zero-delay RDF. Our theoretical framework is corroborated with a simulation example.Comment: 7 pages, 6 figures, accepted for publication in IEEE Information Theory Workshop (ITW

Directed Data-Processing Inequalities for Systems with Feedback

We present novel data-processing inequalities relating the mutual information and the directed information in systems with feedback. The internal blocks within such systems are restricted only to be causal mappings, but are allowed to be non-linear, stochastic and time varying. These blocks can for example represent source encoders, decoders or even communication channels. Moreover, the involved signals can be arbitrarily distributed. Our first main result relates mutual and directed informations and can be interpreted as a law of conservation of information flow. Our second main result is a pair of data-processing inequalities (one the conditional version of the other) between nested pairs of random sequences entirely within the closed loop. Our third main result is introducing and characterizing the notion of in-the-loop (ITL) transmission rate for channel coding scenarios in which the messages are internal to the loop. Interestingly, in this case the conventional notions of transmission rate associated with the entropy of the messages and of channel capacity based on maximizing the mutual information between the messages and the output turn out to be inadequate. Instead, as we show, the ITL transmission rate is the unique notion of rate for which a channel code attains zero error probability if and only if such ITL rate does not exceed the corresponding directed information rate from messages to decoded messages. We apply our data-processing inequalities to show that the supremum of achievable (in the usual channel coding sense) ITL transmission rates is upper bounded by the supremum of the directed information rate across the communication channel. Moreover, we present an example in which this upper bound is attained. Finally, ...Comment: Submitted to Entropy. arXiv admin note: substantial text overlap with arXiv:1301.642

Comments on "A Framework for Control System Design Subject to Average Data-Rate Constraints"

Theorem~ 4.1 in the 2011 paper "A Framework for Control System Design Subject to Average Data-Rate Constraints" allows one to lower bound average operational data rates in feedback loops (including the situation in which encoder and decoder have side information). Unfortunately, its proof is invalid. In this note we first state the theorem and explain why its proof is flawed, and then provide a correct proof under weaker assumptions.Comment: Submitted to IEEE Transactions on Automatic Contro