Relative entropy between Markov transition rate matrices
- 1 May 1993
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 39 (3) , 1056-1057
- https://doi.org/10.1109/18.256516
Abstract
The relative entropy between two Markov transition rate matrices is derived from sample path considerations. This relative entropy is interpreted as a level-2.5 large-deviations action functional. That is, the level-two large-deviations action functional for empirical distributions of continuous-time Markov chains can be derived from the relative entropy using the contraction mapping principleKeywords
This publication has 2 references indexed in Scilit:
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