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arXiv · 1703.00091

Semi-analytical approximations to statistical moments of sigmoid and softmax mappings of normal variables

Jean Daunizeau
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Abstract

This note is concerned with accurate and computationally efficient approximations of moments of Gaussian random variables passed through sigmoid or softmax mappings. These approximations are semi-analytical (i.e. they involve the numerical adjustment of parametric forms) and highly accurate (they yield 5% error at most). We also highlight a few niche applications of these approximations, which arise in the context of, e.g., drift-diffusion models of decision making or non-parametric data clustering approaches. We provide these as examples of efficient alternatives to more tedious derivations that would be needed if one was to approach the underlying mathematical issues in a more formal way. We hope that this technical note will be helpful to modellers facing similar mathematical issues, although maybe stemming from different academic prospects.

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Jean Daunizeau. 2017-03-01. Semi-analytical approximations to statistical moments of sigmoid and softmax mappings of normal variables. https://arxiv.org/abs/1703.00091

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