TY - GEN
T1 - On the Structure of the Least Favorable Prior Distributions
AU - Dytso, Alex
AU - Poor, H. Vincent
AU - Bustin, Ronit
AU - Shamai, Shlomo
N1 - Publisher Copyright:
© 2018 IEEE.
PY - 2018/8/15
Y1 - 2018/8/15
N2 - This paper studies optimization of the minimum mean square error (MMSE) in order to characterize the structure of the least favorable prior distributions. In the first part, the paper characterizes the local behavior of the MMSE in terms of the input distribution and finds the directional derivative of the MMSE at the distribution P-{\mathbf{X}} in the direction of the distribution Q-{\mathbf{X}}. In the second part of the paper, the directional derivative together with the theory of convex optimization is used to characterize the structure of least favorable distributions. In particular, under mild regularity conditions, it is shown that the support of the least favorable distributions must necessarily be very small and is contained in a nowhere dense set of Lebesgue measure zero. The results of this paper produce both sufficient and necessary conditions for optimality, do not rely on Gaussian statistics assumptions, and are not sensitive to the dimensionality of random vectors. The results are evaluated for the univariate and multivariate random Gaussian cases, and the Poisson case. Finally, as one of the applications, it is shown how the results can be used to characterize the capacity of Gaussian MIMO channels with an amplitude constraint.
AB - This paper studies optimization of the minimum mean square error (MMSE) in order to characterize the structure of the least favorable prior distributions. In the first part, the paper characterizes the local behavior of the MMSE in terms of the input distribution and finds the directional derivative of the MMSE at the distribution P-{\mathbf{X}} in the direction of the distribution Q-{\mathbf{X}}. In the second part of the paper, the directional derivative together with the theory of convex optimization is used to characterize the structure of least favorable distributions. In particular, under mild regularity conditions, it is shown that the support of the least favorable distributions must necessarily be very small and is contained in a nowhere dense set of Lebesgue measure zero. The results of this paper produce both sufficient and necessary conditions for optimality, do not rely on Gaussian statistics assumptions, and are not sensitive to the dimensionality of random vectors. The results are evaluated for the univariate and multivariate random Gaussian cases, and the Poisson case. Finally, as one of the applications, it is shown how the results can be used to characterize the capacity of Gaussian MIMO channels with an amplitude constraint.
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U2 - 10.1109/ISIT.2018.8437546
DO - 10.1109/ISIT.2018.8437546
M3 - Conference contribution
AN - SCOPUS:85048567775
SN - 9781538647806
T3 - IEEE International Symposium on Information Theory - Proceedings
SP - 1081
EP - 1085
BT - 2018 IEEE International Symposium on Information Theory, ISIT 2018
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2018 IEEE International Symposium on Information Theory, ISIT 2018
Y2 - 17 June 2018 through 22 June 2018
ER -