Title :
On the relative entropy of discrete-time Markov processes with given end-point densities
Author :
Beghi, Alessandro
Author_Institution :
Dipartimento di Elettronica e Inf., Padova Univ., Italy
fDate :
9/1/1996 12:00:00 AM
Abstract :
Given a Markov process x(k) defined over a finite interval I=[0,N], I⊂Z we construct a process x*(k) with the same initial density as x, but a different end-point density, which minimizes the relative entropy of x and x*. It is shown that x* is a Markov process in the same reciprocal class as x. In the Gaussian case, the minimum relative entropy problem is related to a minimum energy LQG optimal control problem
Keywords :
Markov processes; discrete time systems; entropy; linear quadratic Gaussian control; probability; Gaussian case; discrete-time Markov processes; end-point densities; minimum energy LQG optimal control problem; reciprocal class; relative entropy; Computer science; Conferences; Decoding; Discrete transforms; Entropy; Error correction codes; Information theory; Markov processes; Memoryless systems; Notice of Violation;
Journal_Title :
Information Theory, IEEE Transactions on
