Pathwise sensitivity analysis in transient regimes

DOI10.1007/978-3-319-18206-3_5MaRDI QIDQ2949898zbMATH OpenOpenAlexWikidataFDO

Authors Georgios Arampatzis, Markos Katsoulakis, Yannis Pantazis

Publication date 5 October 2015

Published in Mathematical Engineering (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.05430

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on general state spaces (60J25) Statistical aspects of information-theoretic topics (62B10) Neural networks for/in biological studies, artificial life and related topics (92B20) Measures of information, entropy (94A17)

Abstract: The instantaneous relative entropy (IRE) and the corresponding instanta- neous Fisher information matrix (IFIM) for transient stochastic processes are pre- sented in this paper. These novel tools for sensitivity analysis of stochastic models serve as an extension of the well known relative entropy rate (RER) and the corre- sponding Fisher information matrix (FIM) that apply to stationary processes. Three cases are studied here, discrete-time Markov chains, continuous-time Markov chains and stochastic differential equations. A biological reaction network is presented as a demonstration numerical example.

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(10)

• Sensitivity analysis for rare events based on Rényi divergence
• Path-space information bounds for uncertainty quantification and sensitivity analysis of stochastic dynamics
• scientific article; zbMATH DE number 18698 (Why is no real title available?)
• Robust Information Divergences for Model-Form Uncertainty Arising from Sparse Data in Random PDE
• On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks
• Sensitivity Analysis and Computations of the Time Relaxation Model
• Efficient computation of Sobol' indices for stochastic models
• Fisher transfer entropy: quantifying the gain in transient sensitivity
• Robust Actuarial Risk Analysis
• Bottom-Up Transient Time Models in Coarse-Graining Molecular Systems

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