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An Estimator for the Relative Entropy Rate of Path Measures for Stochastic Differential Equations
Zitatschlüssel Op17
Autor Opper M.
Seiten 127–133
Jahr 2017
ISSN 0021-9991
Adresse San Diego, CA, USA
Journal J. Comput. Phys.
Jahrgang 330
Nummer C
Verlag Academic Press Professional, Inc.
Zusammenfassung 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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