Manifold-constrained Gaussian process inference for time-varying parameters in dynamic systems

DOI10.1007/S11222-023-10319-YzbMATH Open1523.62039arXiv2105.13407OpenAlexW4387674457MaRDI QIDQ6089199FDOQ6089199

Authors: Yan Sun, Shihao Yang 

Publication date: 17 November 2023

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: Identification of parameters in ordinary differential equations (ODEs) is an important and challenging task when modeling dynamic systems in biomedical research and other scientific areas, especially with the presence of time-varying parameters. This article proposes a fast and accurate method, TVMAGI (Time-Varying MAnifold-constrained Gaussian process Inference), to estimate both time-constant and time-varying parameters in the ODE using noisy and sparse observation data. TVMAGI imposes a Gaussian process model over the time series of system components as well as time-varying parameters, and restricts the derivative process to satisfy ODE conditions. Consequently, TVMAGI completely bypasses numerical integration and achieves substantial savings in computation time. By incorporating the ODE structures through manifold constraints, TVMAGI enjoys a principled statistical construct under the Bayesian paradigm, which further enables it to handle systems with missing data or unobserved components. The Gaussian process prior also alleviates the identifiability issue often associated with the time-varying parameters in ODE. Unlike existing approaches, TVMAGI can be applied to general nonlinear systems without specific structural assumptions. Three simulation examples, including an infectious disease compartmental model, are provided to illustrate the robustness and efficiency of our method compared with numerical integration and Bayesian filtering methods.

Full work available at URL: https://arxiv.org/abs/2105.13407

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zbMATH Keywords

Bayesian inferenceGaussian processinverse problemordinary differential equationstime-varying parameter estimation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (5)

• Gaussian process manifold interpolation for probabilistic atrial activation maps and uncertain conduction velocity
• Fourier series-based approximation of time-varying parameters in ordinary differential equations
• Bayesian estimation of time-varying parameters in ordinary differential equation models with noisy time-varying covariates
• Statistical inference in mechanistic models: time warping for improved gradient matching
• When artificial parameter evolution gets real: particle filtering for time-varying parameter estimation in deterministic dynamical systems

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