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Title: An estimator for the relative entropy rate of path measures for stochastic differential equations

Abstract

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.

Authors:
Publication Date:
OSTI Identifier:
22622242
Resource Type:
Journal Article
Resource Relation:
Journal Name: Journal of Computational Physics; Journal Volume: 330; Other Information: Copyright (c) 2016 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; 97 MATHEMATICAL METHODS AND COMPUTING; DIFFERENTIAL EQUATIONS; ENTROPY; STOCHASTIC PROCESSES; VARIATIONAL METHODS

Citation Formats

Opper, Manfred, E-mail: manfred.opper@tu-berlin.de. An estimator for the relative entropy rate of path measures for stochastic differential equations. United States: N. p., 2017. Web. doi:10.1016/J.JCP.2016.11.021.
Opper, Manfred, E-mail: manfred.opper@tu-berlin.de. An estimator for the relative entropy rate of path measures for stochastic differential equations. United States. doi:10.1016/J.JCP.2016.11.021.
Opper, Manfred, E-mail: manfred.opper@tu-berlin.de. Wed . "An estimator for the relative entropy rate of path measures for stochastic differential equations". United States. doi:10.1016/J.JCP.2016.11.021.
@article{osti_22622242,
title = {An estimator for the relative entropy rate of path measures for stochastic differential equations},
author = {Opper, Manfred, E-mail: manfred.opper@tu-berlin.de},
abstractNote = {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.},
doi = {10.1016/J.JCP.2016.11.021},
journal = {Journal of Computational Physics},
number = ,
volume = 330,
place = {United States},
year = {Wed Feb 01 00:00:00 EST 2017},
month = {Wed Feb 01 00:00:00 EST 2017}
}