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An Estimator for the Relative Entropy Rate of Path Measures for Stochastic Differential Equations
Citation key Op17
Author Opper M.
Pages 127–133
Year 2017
ISSN 0021-9991
Address San Diego, CA, USA
Journal J. Comput. Phys.
Volume 330
Number C
Publisher Academic Press Professional, Inc.
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.
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