An estimator for the relative entropy rate of path measures for stochastic differential equations
Journal Article
·
· Journal of Computational Physics
We address the problem of estimating the relative entropy rate (RER) for two stochastic processes described by stochastic differential equations. For the case where the drift of one process is known analytically, but one has only observations from the second process, we use a variational bound on the RER to construct an estimator.
- OSTI ID:
- 22622242
- Journal Information:
- Journal of Computational Physics, Vol. 330; Other Information: Copyright (c) 2016 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.; Country of input: International Atomic Energy Agency (IAEA); ISSN 0021-9991
- Country of Publication:
- United States
- Language:
- English
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