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, ...
We present several novel identities and 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. Moreover, the involved signals can be arbitrarily distributed. We bound the directed information between signals inside the feedback loop by the mutual information between signals inside and outside the feedback loop. This fundamental result has an interesting interpretation as a law of conservation of informatio…
It is known that the capacity region of a two user physically degraded discrete memoryless (DM) broadcast channel (BC) is not enlarged by feedback. An identical result holds true for a physically degraded Gaussian BC, established later using a variant of the Entropy Power Inequality (EPI). In this paper, we extend the latter result to a physically degraded Gaussian Vector BC (PD-GVBC). However, the extension is not EPI based, but employs a recent result on the factorization of concave envelopes. While the existing concave envelope factorization results do not hold in the presence of feedback, …
A methodology is developed to realized optimal channel input conditional distributions, which maximize the finite-time horizon directed information, for channels with memory and feedback, by information lossless randomized strategies. The methodology is applied to general Time-Varying Multiple Input Multiple Output (MIMO) Gaussian Linear Channel Models (G-LCMs) with memory, subject to average transmission cost constraints of quadratic form. The realizations of optimal distributions by randomized strategies are shown to exhibit a decomposion into a deterministic part and a random part. The deco…
In this paper, we consider some long-standing problems in communication systems with access to noisy feedback. We introduce a new notion, the residual directed information, to capture the effective information flow (i.e. mutual information between the message and the channel outputs) in the forward channel. In light of this new concept, we investigate discrete memoryless channels (DMC) with noisy feedback and prove that the noisy feedback capacity is not achievable by using any typical closed-loop encoder (non-trivially taking feedback information to produce channel inputs). We then show that …
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 estimat…
We extend the Blahut-Arimoto algorithm for maximizing Massey's directed information. The algorithm can be used for estimating the capacity of channels with delayed feedback, where the feedback is a deterministic function of the output. In order to do so, we apply the ideas from the regular Blahut-Arimoto algorithm, i.e., the alternating maximization procedure, onto our new problem. We provide both upper and lower bound sequences that converge to the optimum value. Our main insight in this paper is that in order to find the maximum of the directed information over causal conditioning probabilit…
We introduce the (private) entropy of a directed graph (in a new network coding sense) as well as a number of related concepts. We show that the entropy of a directed graph is identical to its guessing number and can be bounded from below with the number of vertices minus the size of the graph's shortest index code. We show that the Network Coding solvability of each specific multiple unicast network is completely determined by the entropy (as well as by the shortest index code) of the directed graph that occur by identifying each source node with each corresponding target node. Shannon's info…
Information-theoretic fundamental limitation in feedback control system is an important topic for decades. In this paper, a new bode-like fundamental inequality in causal feedback control system is developed. This inequality relates directed information, mutual information and bode sensitivity functions. This inequality recovers previous known results in feedback system as special cases.
As a class of state-dependent channels, Markov channels have been long studied in information theory for characterizing the feedback capacity and error exponent. This paper studies a more general variant of such channels where the state evolves via a general stochastic process, not necessarily Markov or ergodic. The states are assumed to be unknown to the transmitter and the receiver, but the underlying probability distributions are known. For this setup, we derive an upper bound on the feedback error exponent and the feedback capacity with variable-length codes. The bounds are expressed in te…
Directed information theory deals with communication channels with feedback. When applied to networks, a natural extension based on causal conditioning is needed. We show here that measures built from directed information theory in networks can be used to assess Granger causality graphs of stochastic processes. We show that directed information theory includes measures such as the transfer entropy, and that it is the adequate information theoretic framework needed for neuroscience applications, such as connectivity inference problems.
We derive three fundamental decompositions on relevant information quantities in feedback systems. The feedback systems considered in this paper are only restricted to be causal in time domain and the channels are allowed to be subject to arbitrary distribution. These decompositions comprise the well-known mutual information and the directed information, and indicate a law of conservation of information flows in the closed-loop network.
Directed Information: Estimation, Optimization and Applications in Communications and Causality
Ben-Gurion University of the Negev（内盖夫本-古里安大学）；The Hebrew University of Jerusalem（耶路撒冷希伯来大学）；Indian Institute of Science（印度科学研究所）；Technical University of Munich（慕尼黑工业大学）
We consider finite state channels (FSCs) with feedback and state information known causally at the encoder. This setting is quite general and includes: a memoryless channel with i.i.d. state (the Shannon strategy), Markovian states that include look-ahead (LA) access to the state and energy harvesting. We characterize the feedback capacity of the general setting as the directed information between auxiliary random variables with memory to the channel outputs. We also propose two methods for computing the feedback capacity: (i) formulating an infinite-horizon average-reward dynamic program; and…
We introduce a general framework for treating channels with memory and feedback. First, we generalize Massey's concept of directed information and use it to characterize the feedback capacity of general channels. Second, we present coding results for Markov channels. This requires determining appropriate sufficient statistics at the encoder and decoder. Third, a dynamic programming framework for computing the capacity of Markov channels is presented. Fourth, it is shown that the average cost optimality equation (ACOE) can be viewed as an implicit single-letter characterization of the capacity.…
Guessing games for directed graphs were introduced by Riis for studying multiple unicast network coding problems. In a guessing game, the players toss generalised dice and can see some of the other outcomes depending on the structure of an underlying digraph. They later guess simultaneously the outcome of their own die. Their objective is to find a strategy which maximises the probability that they all guess correctly. The performance of the optimal strategy for a graph is measured by the guessing number of the digraph. Christofides and Markström studied guessing numbers of undirected graphs a…
We study the problem of computing the rate-distortion function for sources with feed-forward and the capacity for channels with feedback. The formulas (involving directed information) for the optimal rate-distortion function with feed-forward and channel capacity with feedback are multi-letter expressions and cannot be computed easily in general. In this work, we derive conditions under which these can be computed for a large class of sources/channels with memory and distortion/cost measures. Illustrative examples are also provided.
Ben Gurion University（本·古里安大学）；Cornell University（康奈尔大学）
Calculating the capacity (with or without feedback) of channels with memory and continuous alphabets is a challenging task. It requires optimizing the directed information (DI) rate over all channel input distributions. The objective is a multi-letter expression, whose analytic solution is only known for a few specific cases. When no analytic solution is present or the channel model is unknown, there is no unified framework for calculating or even approximating capacity. This work proposes a novel capacity estimation algorithm that treats the channel as a `black-box', both when feedback is or …
This paper describes a framework in which directed information is defined on abstract spaces. The framework is employed to derive properties of directed information such as convexity, concavity, lower semicontinuity, by using the topology of weak convergence of probability measures on Polish spaces. Two extremum problems of directed information related to capacity of channels with memory and feedback, and non-anticipative and sequential rate distortion are analyzed showing existence of maximizing and minimizing distributions, respectively.
Ben Gurion University of the Negev（内盖夫本·古里安大学）；Cornell University（康奈尔大学）
Directed information (DI) is a fundamental measure for the study and analysis of sequential stochastic models. In particular, when optimized over input distributions it characterizes the capacity of general communication channels. However, analytic computation of DI is typically intractable and existing optimization techniques over discrete input alphabets require knowledge of the channel model, which renders them inapplicable when only samples are available. To overcome these limitations, we propose a novel estimation-optimization framework for DI over discrete input spaces. We formulate DI o…
We study the problem of secure message multicasting over graphs in the presence of a passive (node) adversary who tries to eavesdrop in the network. We show that use of feedback, facilitated through the existence of cycles or undirected edges, enables higher rates than possible in directed acyclic graphs of the same mincut. We demonstrate this using code constructions for canonical combination networks (CCNs). We also provide general outer bounds as well as schemes for node adversaries over CCNs.
Directed information or its variants are utilized extensively in the characterization of the capacity of channels with memory and feedback, nonanticipative lossy data compression, and their generalizations to networks. In this paper, we derive several functional and topological properties of directed information for general abstract alphabets (complete separable metric spaces) using the topology of weak convergence of probability measures. These include convexity of the set of consistent distributions, which uniquely define causally conditioned distributions, convexity and concavity of directe…
