Control Theory and Experimental Design in Diffusion Processes

DOI10.1137/140962280zbMATH Open1327.62437arXiv1210.3739OpenAlexW2079754921MaRDI QIDQ2945147FDOQ2945147

Authors: Giles Hooker, Kevin K. Lin, Bruce Rogers 

Publication date: 9 September 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Abstract: This paper considers the problem of designing time-dependent, real-time control policies for controllable nonlinear diffusion processes, with the goal of obtaining maximally-informative observations about parameters of interest. More precisely, we maximize the expected Fisher information for the parameter obtained over the duration of the experiment, conditional on observations made up to that time. We propose to accomplish this with a two-step strategy: when the full state vector of the diffusion process is observable continuously, we formulate this as an optimal control problem and apply numerical techniques from stochastic optimal control to solve it. When observations are incomplete, infrequent, or noisy, we propose using standard filtering techniques to first estimate the state of the system, then apply the optimal control policy using the posterior expectation of the state. We assess the effectiveness of these methods in 3 situations: a paradigmatic bistable model from statistical physics, a model of action potential generation in neurons, and a model of a simple ecological system.

Full work available at URL: https://arxiv.org/abs/1210.3739

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zbMATH Keywords

design of experimentsstochastic optimal controlstochastic population dynamicscontrolled diffusionsneuron dynamics

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Sequential statistical design (62L05) Population dynamics (general) (92D25) Neural biology (92C20) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Optimal stochastic control (93E20)

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Cited In (9)

• Title not available (Why is that?)
• Experimental Design for Partially Observed Markov Decision Processes
• Adaptive treatment and robust control
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• Goodness of fit in nonlinear dynamics: misspecified rates or misspecified states?
• A new actuator activation policy for performance enhancement of controlled diffusion processes.
• Transient dynamics of Pearson diffusions facilitates estimation of rate parameters
• Timing observations of diffusions
• Optimal Design for Estimation in Diffusion Processes from First Hitting Times

Uses Software

• VPLAN
• StochSens

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