Fourier series-based approximation of time-varying parameters in ordinary differential equations

DOI10.1088/1361-6420/AD1FE5MaRDI QIDQ6154905zbMATH OpenOpenAlexWikidataFDO

Authors Andrea Arnold

Publication date 16 February 2024

Published in Inverse Problems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.08872

zbMATH Keywords

approximation modelsBayesian inferencedynamical systemsensemble Kalman filterFourier seriesnonstationary inverse problemsparameter estimation

Mathematics Subject Classification ID

Control/observation systems governed by ordinary differential equations (93C15) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Abstract: Many real-world systems modeled using differential equations involve unknown or uncertain parameters. Standard approaches to address parameter estimation inverse problems in this setting typically focus on estimating constants; yet some unobservable system parameters may vary with time without known evolution models. In this work, we propose a novel approximation method inspired by the Fourier series to estimate time-varying parameters in deterministic dynamical systems modeled with ordinary differential equations. Using ensemble Kalman filtering in conjunction with Fourier series-based approximation models, we detail two possible implementation schemes for sequentially updating the time-varying parameter estimates given noisy observations of the system states. We demonstrate the capabilities of the proposed approach in estimating periodic parameters, both when the period is known and unknown, as well as non-periodic time-varying parameters of different forms with several computed examples using a forced harmonic oscillator. Results emphasize the importance of the frequencies and number of approximation model terms on the time-varying parameter estimates and corresponding dynamical system predictions.

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