Pathwise Sensitivity Analysis in Transient RegimesMathematical Engineering (2015)
AbstractThe instantaneous relative entropy (IRE) and the corresponding instantaneous Fisher information matrix (IFIM) for transient stochastic processes are presented 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 corresponding 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.
Citation InformationGeorgios Arampatzis, Markos Katsoulakis and Yannis Pantazis. "Pathwise Sensitivity Analysis in Transient Regimes" Mathematical Engineering (2015)
Available at: http://works.bepress.com/markos_katsoulakis/59/