Forward sensitivity analysis for contracting stochastic systems

Thomas Flynn

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arXiv · 1610.09456

Forward sensitivity analysis for contracting stochastic systems

Thomas Flynn

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Abstract

In this work we investigate gradient estimation for a class of contracting stochastic systems on a continuous state space. We find conditions on the one-step transitions, namely differentiability and contraction in a Wasserstein distance, that guarantee differentiability of stationary costs. Then we show how to estimate the derivatives, deriving an estimator that can be seen as a generalization of the forward sensitivity analysis method used in deterministic systems. We apply the results to examples, including a neural network model.

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Thomas Flynn. 2016-10-29. Forward sensitivity analysis for contracting stochastic systems. https://arxiv.org/abs/1610.09456

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