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Relative entropy minimizing noisy non-linear neural network to approximate stochastic processes
Mathieu N Galtier1, Camille Marini2, Gilles Wainrib3
1School of Engineering and Science, Jacobs University Bremen gGmbH, 28759 Bremen, Germany.
Abstract:
A method is provided for designing and training noise-driven recurrent neural networks as models of stochastic processes. The method unifies and generalizes two known separate modeling approaches, Echo State Networks (ESN) and Linear Inverse Modeling (LIM), under the common principle of relative entropy minimization. The power of the new method is demonstrated on a stochastic approximation of the El Niño phenomenon studied in climate research.
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