Moment-based Invariants for Probabilistic Loops with Non-polynomial Assignments
arXiv:2205.02577 · doi:10.1007/978-3-031-16336-4_1
Abstract
We present a method to automatically approximate moment-based invariants of probabilistic programs with non-polynomial updates of continuous state variables to accommodate more complex dynamics. Our approach leverages polynomial chaos expansion to approximate non-linear functional updates as sums of orthogonal polynomials. We exploit this result to automatically estimate state-variable moments of all orders in Prob-solvable loops with non-polynomial updates. We showcase the accuracy of our estimation approach in several examples, such as the turning vehicle model and the Taylor rule in monetary policy.
23 pages