Relative entropy between Markov transition rate matrices
نویسندگان
چکیده
We derive the relative entropy between two Markov transition rate matrices 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 principle [4].
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ورودعنوان ژورنال:
- IEEE Trans. Information Theory
دوره 39 شماره
صفحات -
تاریخ انتشار 1993