Information and estimation in Fokker-Planck channels

2017 IEEE INTERNATIONAL SYMPOSIUM ON INFORMATION THEORY (ISIT)（2017）

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摘要

We study the relationship between information- and estimation-theoretic quantities in time-evolving systems. We focus on the Fokker-Planck channel defined by a general stochastic differential equation, and show that the time derivatives of entropy, KL divergence, and mutual information are characterized by estimation-theoretic quantities involving an appropriate generalization of the Fisher information. Our results vastly extend De Bruijn's identity and the classical I-MMSE relation.

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关键词

Fokker-Planck channels,time-evolving systems,estimation-theoretic quantities,information-theoretic quantities,general stochastic differential equation,time derivatives,entropy,KL divergence,mutual information,Fisher information,De Bruijn's identity,classical I-MMSE relation

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