The Optimal Transmission of Correlated Gaussian n-Signals through Parallel m-Channels with Feedback

Abstract

We consider the optimal transmission problem for a set of correlated Gaussian signals which is sent through parallel channels with feedback. The signals are assumed to be given by a solution of a multidimensional linear stochastic differential equation. Under a constraint on the total power of the signals, we will obtain the optimal gains for the set of channels which minimizes the steady-state estimation error.