Explicit inner and outer surfaces for Gaussian pattern recognition

Let XX and YY be zero-mean Gaussian random variables with correlation coefficient ρxy\rho_{xy}. For correlation coefficients ρxu\rho_{xu} and ρyv\rho_{yv} determined by

rx=12log(1ρxu2),ry=12log(1ρyv2),r_x=-\frac{1}{2}\log(1-\rho_{xu}^2),\qquad r_y=-\frac{1}{2}\log(1-\rho_{yv}^2),

define

G(rx,ry)=12log(1ρxy2ρyv2ρxu2).G(r_x,r_y)=-\frac{1}{2}\log(1-\rho_{xy}^2\rho_{yv}^2\rho_{xu}^2).

Also define G(rx,ry)G^*(r_x,r_y) using the quantities

γ=ρxyρxuρyv,β=ρxu2+ρyv2(1ρxy2)ρxu2ρyv2,\gamma=\rho_{xy}\rho_{xu}\rho_{yv},\qquad \beta=\rho_{xu}^2+\rho_{yv}^2-(1-\rho_{xy}^2)\rho_{xu}^2\rho_{yv}^2, ρ=β2γ(β2γ)21,\rho=\frac{\beta}{2\gamma}-\sqrt{\left(\frac{\beta}{2\gamma}\right)^2-1},

and

G(rx,ry)=rx+ry+12log[1+2ρ2γβ1ρ2].G^*(r_x,r_y)=r_x+r_y+\frac{1}{2}\log\left[1+\frac{2\rho^2\gamma-\beta}{1-\rho^2}\right].

Gaussian-case conjecture. In the Gaussian case, the surfaces of Rin\mathcal{R}_{in} and Rout\mathcal{R}_{out} are

rin(rx,ry)=G(rx,ry),rout(rx,ry)=G(rx,ry).r_{in}(r_x,r_y)=G(r_x,r_y),\qquad r_{out}(r_x,r_y)=G^*(r_x,r_y).

These formulas are intended to provide explicit Gaussian inner and outer surfaces in parallel with the binary case. The supplied text does not state whether this claim has been proved or remains open.

Sources & referencesView supporting material

Primary source

M. Brandon Westover and Joseph A. O'Sullivan, “Achievable Rates for Pattern Recognition”, arXiv:cs/0509022 (2005).

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