A high accuracy stochastic estimation of a nonlinear deterministic model

DOI10.1016/J.PHYSLETA.2011.03.013MaRDI QIDQ434054zbMATH OpenOpenAlexFDO

Authors Spyridon J. Hatjispyros, Stephen G. Walker

Publication date 9 July 2012

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.03968

zbMATH Keywords

MCMCstochastic optimizationlogistic modelnonlinear model

Mathematics Subject Classification ID

Reliability and life testing (62N05) Monte Carlo methods (65C05) Dynamical systems in optimization and economics (37N40) PDEs in connection with control and optimization (35Q93) Transportation, logistics and supply chain management (90B06)

Abstract: In this paper, an approach to estimating a nonlinear deterministic model is presented. We introduce a stochastic model with extremely small variances so that the deterministic and stochastic models are essentially indistinguishable from each other. This point is explained in the paper. The estimation is then carried out using stochastic optimisation based on Markov chain Monte Carlo (MCMC) methods.

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Cited in

(2)

• Stochastic quantification of missing mechanisms in dynamical systems
• Deterministic sampling for propagating model covariance

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