Systematic physics constrained parameter estimation of stochastic differential equations

DOI10.1016/J.CSDA.2014.10.011MaRDI QIDQ1623793zbMATH OpenOpenAlexFDO

Authors Daniel Peavoy, Christian L. E. Franzke, Gareth O. Roberts

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1881

zbMATH Keywords

parameter inferenceglobal stabilitystochastic differential equationsphysical constraintsimputing datastochastic climate models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Climate science and climate modeling (86A08) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 775841 (Why is no real title available?)
• A factorisation of diffusion measure and finite sample path constructions
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• An applied mathematics perspective on stochastic modelling for climate
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• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Exact simulation of diffusions
• Fundamental limitations of ad hoc linear and quadratic multi-level regression models for physical systems
• Invariant measures and asymptotic Gaussian bounds for normal forms of stochastic climate model
• Models for stochastic climate prediction
• Multiscale Methods
• Normal forms for reduced stochastic climate models
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Physics constrained nonlinear regression models for time series
• Reconstruction of diffusion using spectral data from time series
• Representations of multidimensional linear process bridges

Cited in

(5)

• Learning stochastic closures using ensemble Kalman inversion
• A numerical method for solving stochastic Volterra-Fredholm integral equation
• Error bounds of the invariant statistics in machine learning of ergodic Itô diffusions
• Reduced-space Gaussian process regression for data-driven probabilistic forecast of chaotic dynamical systems
• Walsh function-based numerical approach for nonlinear stochastic integral equations: application to stochastic logistic models

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