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On Wyner's Common Information in the Gaussian Case (1912.07083v2)
Published 15 Dec 2019 in cs.IT and math.IT
Abstract: Wyner's Common Information and a natural relaxation are studied in the special case of Gaussian random variables. The relaxation replaces conditional independence by a bound on the conditional mutual information. The main contribution is the proof that Gaussian auxiliaries are optimal, leading to a closed-form formula. As a corollary, the proof technique also establishes the optimality of Gaussian auxiliaries for the Gaussian Gray-Wyner network, a long-standing open problem.