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Forward sensitivity analysis for contracting stochastic systems

  • Thomas Flynn (a1)
Abstract

In this paper 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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Corresponding author
* Current address: Computational Science Initiative, Brookhaven National Laboratory, P.O. Box 5000, Upton, NY 11973, USA. Email address: tflynn@bnl.gov
References
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Advances in Applied Probability
  • ISSN: 0001-8678
  • EISSN: 1475-6064
  • URL: /core/journals/advances-in-applied-probability
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