Sensitivity analysis for rare events based on Rényi divergence

DOI10.1214/19-AAP1468zbMath1464.60024arXiv1805.06917OpenAlexW3047231416MaRDI QIDQ2657916

Yannis Pantazis, Paul Dupuis, Luc Rey-Bellet, Markos A. Katsoulakis

Publication date: 18 March 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.06917

zbMATH Keywords

sensitivity analysislarge deviationuncertainty quantificationRényi divergencescore functionrare eventvariational representationrisk sensitive functional

Mathematics Subject Classification ID

Large deviations (60F10) Measures of information, entropy (94A17)

Related Items (9)

Model Uncertainty and Correctability for Directed Graphical Models ⋮ Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning ⋮ Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes ⋮ Robust bounds and optimization at the large deviations scale for queueing models via Rényi divergence ⋮ Unnamed Item ⋮ Uncertainty Quantification for Markov Random Fields ⋮ Variational Representations and Neural Network Estimation of Rényi Divergences ⋮ Exponential decay of Rényi divergence under Fokker-Planck equations ⋮ Quantification of model uncertainty on path-spaceviagoal-oriented relative entropy

Uses Software

• PRMLT

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