Nonparametric estimation for interacting particle systems : McKean-Vlasov models

DOI10.1007/S00440-021-01044-6arXiv2011.03762MaRDI QIDQ6353207FDOQ6353207

Authors: M. Hoffmann 

Publication date: 7 November 2020

Abstract: We consider a system of $N$ interacting particles, governed by transport and diffusion, that converges in a mean-field limit to the solution of a McKean-Vlasov equation. From the observation of a trajectory of the system over a fixed time horizon, we investigate nonparametric estimation of the solution of the associated nonlinear Fokker-Planck equation, together with the drift term that controls the interactions, in a large population limit $Nightarrowinfty$. We build data-driven kernel estimators and establish oracle inequalities, following Lepski's principle. Our results are based on a new Bernstein concentration inequality in McKean-Vlasov models for the empirical measure around its mean, possibly of independent interest. We obtain adaptive estimators over anisotropic H"older smoothness classes built upon the solution map of the Fokker-Planck equation, and prove their optimality in a minimax sense. In the specific case of the Vlasov model, we derive an estimator of the interaction potential and establish its consistency.

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Population dynamics (general) (92D25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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