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

DOI10.1016/J.JCP.2016.11.021MaRDI QIDQ1691735zbMATH OpenOpenAlexFDO

Authors Manfred Opper

Publication date 25 January 2018

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2016.11.021

zbMATH Keywords

drift estimationrelative entropystochastic differential equationsvariational bound

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Point estimation (62F10)

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Cites work

• Adaptive importance sampling for control and inference
• Algorithms for Kullback-Leibler approximation of probability measures in infinite dimensions
• Estimation of non-normalized statistical models by score matching
• Large Sample Properties of Generalized Method of Moments Estimators
• Optimal control as a graphical model inference problem
• Path integrals and symmetry breaking for optimal control theory
• Path-space variational inference for non-equilibrium coarse-grained systems
• Variational estimation of the drift for stochastic differential equations from the empirical density

Cited in

(9)

• Space and spectral domain relative entropy for homogeneous random fields
• Special issue: Predictive multiscale materials modeling
• \(\Phi\)-entropy inequality and application for SDEs with jumps
• Quantification of model uncertainty on path-space via goal-oriented relative entropy
• Path-Based Divergence Rates and Lagrangian Uncertainty in Stochastic Flows
• Detecting stochastic governing laws with observation on stationary distributions
• Nonparametric inference of stochastic differential equations based on the relative entropy rate
• Hawkes process modelling for chemical reaction networks in a random environment
• A new method for modelling the stochastic differential equations

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