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Optimal Kullback-Leibler approximation of Markov chains via nuclear norm regularisation.

Kun DengDayu Huang
Published in: Int. J. Syst. Sci. (2015)
Keyphrases
  • markov chain
  • kullback leibler
  • monte carlo
  • state space
  • closed form
  • kullback leibler divergence
  • kl divergence
  • distance measure
  • markov chain monte carlo
  • dynamic programming
  • curve evolution