The structural properties of nonanticipatory epsilon entropy of multivariate Gauss-Markov sources with square-error fidelity are investigated. Specifically, it is shown that the optimal matrices of the stochastic realization of the optimal reproduction distribution admit spectral representations with respect to the same unitary matrices, and that the optimal reproduction process is generated, subject to pre-processing and post-processing by memoryless parallel additive Gaussian noise channels. The derivations and analyses are new and bring out several properties of such optimization problems over the space of conditional distributions and their realizations.


Christos Kourtellaris

University of Cyprus

Jan H. van Schuppen

Van Schuppen Control Research

Session Chair

Anatoly Khina

Tel Aviv University