Pathwise Sensitivity Analysis in Transient Regimes

Georgios Arampatzis; Markos A. Katsoulakis; Yannis Pantazis

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arXiv · 1502.05430

Pathwise Sensitivity Analysis in Transient Regimes

Georgios Arampatzis·Markos A. Katsoulakis·Yannis Pantazis

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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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Georgios Arampatzis, Markos A. Katsoulakis, Yannis Pantazis. 2015-02-18. Pathwise Sensitivity Analysis in Transient Regimes. https://arxiv.org/abs/1502.05430

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