A Riccati-Lyapunov Approach to Nonfeedback Capacity of MIMO Gaussian Channels Driven by Stable and Unstable Noise

Abstract: In this paper it is shown that the nonfeedback capacity of multiple-input multiple-output (MIMO) additive Gaussian noise (AGN) channels, when the noise is nonstationary and unstable, is characterized by an asymptotic optimization problem that involves, a generalized matrix algebraic Riccati equation (ARE) of filtering theory, and a matrix Lyapunov equation of stability theory of Gaussian systems. Furthermore, conditions are identified such that, the characterization of nonfeedback capacity corresponds to the uniform asymptotic per unit time limit, over all initial distributions, of the characterization of a finite block or transmission without feedback information (FTwFI) capacity, which involves, two generalized matrix difference Riccati equations (DREs) and a matrix difference Lyapunov equation.