Linear Gaussian channels: feedback capacity under power constraints

For discrete-time power-constrained linear Gaussian channels with z-domain rational power spectral density functions: 1) Gauss-Markov sources achieve the feedback capacity; 2) a Kalman filter is optimal for processing the feedback information; 3) dynamic programming optimizes the Gauss-Markov source and computes the feedback capacity. Further, if the optimal Kalman filter reaches a steady state as the time k /spl rarr/ /spl infin/, then the asymptotic feedback capacity exists and its formula is given.