Pathwise Sensitivity Analysis in Transient Regimes
Probability
2015-02-20 v1 Numerical Analysis
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.
Keywords
Cite
@article{arxiv.1502.05430,
title = {Pathwise Sensitivity Analysis in Transient Regimes},
author = {Georgios Arampatzis and Markos A. Katsoulakis and Yannis Pantazis},
journal= {arXiv preprint arXiv:1502.05430},
year = {2015}
}