Capacity Achieving Distributions and Separation Principle for Feedback Gaussian Channels With Memory: the LQG Theory of Directed Information.

A method is developed to realize optimal channel input conditional distributions, which maximize the finite transmission feedback information (FTFI) capacity, often called $n$ -block length feedback capacity, by information lossless randomized strategies. The method is applied to compute closed form expressions for the FTFI capacity and feedback capacity, of nonstationary, nonergodic, unstable, mu...