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An estimator for the relative entropy rate of path measures for stochastic differential equations.
Manfred Opper
Published in:
J. Comput. Phys. (2017)
Keyphrases
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relative entropy
stochastic differential equations
information theoretic
information theory
log likelihood
mutual information
covariance matrix
maximum a posteriori estimation
maximum likelihood
least squares
bregman divergences
brownian motion
kullback leibler divergence