A method of moments estimator for interacting particle systems and their mean field limit
File(s)2212.00403v2.pdf (1.45 MB)
Accepted version
Author(s)
Pavliotis, Grigorios A
Zanoni, Andrea
Type
Journal Article
Abstract
We study the problem of learning unknown parameters in stochastic interacting particle systems with polynomial drift, interaction, and diffusion functions from the path of one single particle in the system. Our estimator is obtained by solving a linear system which is constructed by imposing appropriate conditions on the moments of the invariant distribution of the mean field limit and on the quadratic variation of the process. Our approach is easy to implement as it only requires the approximation of the moments via the ergodic theorem and the solution of a low-dimensional linear system. Moreover, we prove that our estimator is asymptotically unbiased in the limits of infinite data and infinite number of particles (mean field limit). In addition, we present several numerical experiments that validate the theoretical analysis and show the effectiveness of our methodology to accurately infer parameters in systems of interacting particles.
Date Issued
2024-06
Date Acceptance
2024-01-24
Citation
SIAM/ASA Journal on Uncertainty Quantification, 2024, 12 (2), pp.262-288
ISSN
2166-2525
Publisher
Society for Industrial and Applied Mathematics
Start Page
262
End Page
288
Journal / Book Title
SIAM/ASA Journal on Uncertainty Quantification
Volume
12
Issue
2
Copyright Statement
Copyright © 2024 Society for Industrial and Applied Mathematics and American Statistical Association. This is the author’s accepted manuscript made available under a CC-BY licence in accordance with Imperial’s Research Publications Open Access policy (www.imperial.ac.uk/oa-policy)
License URL
Identifier
http://dx.doi.org/10.1137/22m153848x
Publication Status
Published
Date Publish Online
2024-04-04