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Stochastic differential equations as a tool to regularize the parameter estimation problem for continuous time dynamical systems given discrete time measurements

Jacob Leander (Institutionen för matematiska vetenskaper, matematik) ; Torbjörn Lundh (Institutionen för matematiska vetenskaper, matematik) ; Mats Jirstrand
Mathematical Biosciences (0025-5564). Vol. 251 (2014), p. 54-62.
[Artikel, refereegranskad vetenskaplig]

In this paper we consider the problem of estimating parameters in ordinary differential equations given discrete time experimental data. The impact of going from an ordinary to a stochastic differential equation setting is investigated as a tool to overcome the problem of local minima in the objective function. Using two different models, it is demonstrated that by allowing noise in the underlying model itself, the objective functions to be minimized in the parameter estimation procedures are regularized in the sense that the number of local minima is reduced and better convergence is achieved. The advantage of using stochastic differential equations is that the actual states in the model are predicted from data and this will allow the prediction to stay close to data even when the parameters in the model is incorrect. The extended Kalman filter is used as a state estimator and sensitivity equations are provided to give an accurate calculation of the gradient of the objective function. The method is illustrated using in silico data from the FitzHugh–Nagumo model for excitable media and the Lotka–Volterra predator–prey system. The proposed method performs well on the models considered, and is able to regularize the objective function in both models. This leads to parameter estimation problems with fewer local minima which can be solved by efficient gradient-based methods.

Nyckelord: Parameter estimation; Ordinary differential equations; Stochastic differential equations; Extended Kalman filter; Lotka–Volterra; FitzHugh–Nagumo

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Denna post skapades 2014-03-17. Senast ändrad 2014-12-09.
CPL Pubid: 195122


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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)


Optimeringslära, systemteori
Matematisk statistik

Chalmers infrastruktur

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