Nonlinear state-space models are ubiquitous in modeling real-world dynamical systems. Sequential Monte Carlo (SMC) techniques, also known as particle methods, are a well-known class of parameter estimation methods for this general class of state-space models. Existing SMC-based techniques rely on excessive sampling of the parameter space, which makes their computation intractable for large systems or tall data sets. Bayesian optimization techniques have been used for fast inference in state-space models with intractable likelihoods. These techniques aim to find the maximum of the likelihood function by sequential sampling of the parameter space through a single SMC approximator. Various SMC approximators with different fidelities and computational costs are often available for sample- based likelihood approximation. In this paper, we propose a multi-fidelity Bayesian optimization algorithm for the inference of general nonlinear state-space models (MFBO-SSM), which enables simultaneous sequential selection of parameters and approximators. The accuracy and speed of the algorithm are demonstrated by numerical experiments using synthetic gene expression data from a gene regulatory network model and real data from the VIX stock price index.
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Bayesian Parameter Estimation for Nonlinear Dynamics Using Sensitivity Analysis
We investigate approximate Bayesian inference techniques for nonlinear systems described by ordinary differential equation (ODE) models. In particular, the approximations will be based on set-valued reachability analysis approaches, yielding approximate models for the posterior distribution. Nonlinear ODEs are widely used to mathematically describe physical and biological models. However, these models are often described by parameters that are not directly measurable and have an impact on the system behaviors. Often, noisy measurement data combined with physical/biological intuition serve as the means for finding appropriate values of these parameters.Our approach operates under a Bayesian framework, given prior distribution over the parameter space and noisy observations under a known sampling distribution. We explore subsets of the space of model parameters, computing bounds on the likelihood for each subset. This is performed using nonlinear set-valued reachability analysis that is made faster by means of linearization around a reference trajectory. The tiling of the parameter space can be adaptively refined to make bounds on the likelihood tighter. We evaluate our approach on a variety of nonlinear benchmarks and compare our results with Markov Chain Monte Carlo and Sequential Monte Carlo approaches.
more » « less- Award ID(s):
- 1815983
- PAR ID:
- 10171859
- Date Published:
- Journal Name:
- International Joint Conference on Artificial Intelligence (IJCAI)
- Page Range / eLocation ID:
- 5708 to 5714
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Conference Paper:
- https://doi.org/10.24963/ijcai.2019/791
