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Journal of Statistical Physics

, Volume 118, Issue 1–2, pp 145–176 | Cite as

Information and Entropy Flow in the Kalman–Bucy Filter

  • Sanjoy K. Mitter
  • Nigel J. Newton
Article

Abstract

We investigate the information theoretic properties of Kalman–Bucy filters in continuous time, developing notions of information supply, storage and dissipation. Introducing a concept of energy, we develop a physical analogy in which the unobserved signal describes a statistical mechanical system interacting with a heat bath. The abstract ‘universe’ comprising the signal and the heat bath obeys a non-increase law of entropy; however, with the introduction of partial observations, this law can be violated. The Kalman–Bucy filter behaves like a Maxwellian demon in this analogy, returning signal energy to the heat bath without causing entropy increase. This is made possible by the steady supply of new information. In a second analogy the signal and filter interact, setting up a stationary non-equilibrium state, in which energy flows between the heat bath, the signal and the filter without causing any overall entropy increase. We introduce a rate of interactive entropy flow that isolates the statistical mechanics of this flow from marginal effects. Both analogies provide quantitative examples of Landauer’s Principle.

Keywords

Information theory Landauer’s principle non-equilibrium statistical mechanics statistical filtering 

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Copyright information

© Springer Science+Business Media, Inc. 2005

Authors and Affiliations

  1. 1.Department of Electrical Engineering and Computer Science, and Laboratory for Information and Decision SystemsMassachusetts Institute of TechnologyCambridgeUnited States of America
  2. 2.Department of Electronic Systems EngineeringUniversity of EssexColchesterUnited Kingdom

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