On MMSE, mutual information and Popov function in continuous-time multivariable linear systems

@article{Zhang2012OnMM,
  title={On MMSE, mutual information and Popov function in continuous-time multivariable linear systems},
  author={Hui Zhang},
  journal={2012 IEEE International Conference on Control Applications},
  year={2012},
  pages={370-375}
}
By analyzing information transmission in stable and unstable, open- and closed-loop linear continuous-time Gaussian systems, connections within the MMSE of causal estimation, mutual information rate, and the integral of a Popov function are discussed. Yovits' equality for scalar stable systems and Anderson's equality for scalar unstable systems concerning MMSE are extended to multivariable systems. As a consequent result, it is concluded that the mutual information rate between system state and… CONTINUE READING

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