Publikationstyp: | Konferenz: Sonstiges |
Art der Begutachtung: | Keine Angabe |
Titel: | A Hamiltonian Monte Carlo method for boosting Bayesian parameter inference of stochastic differential equation models |
Autor/-in: | Ulzega, Simone |
Angaben zur Konferenz: | NDES 2017, 25th Nonlinear Dynamics of Electronic Systems Conference, Zernez, 5-7 June 2017 |
Erscheinungsdatum: | Jun-2017 |
Sprache: | Englisch |
Fachgebiet (DDC): | 003: Systeme |
Zusammenfassung: | Parameter inference is a fundamental problem in data-driven modeling. Indeed, for making reliable probabilistic predictions, model parameters need to be calibrated to measured data and their uncertainty needs to be quantified. Bayesian statistics is a consistent framework where knowledge about parameters is expressed through probability distributions. These so-called posterior distributions can become computationally very expensive to evaluate, especially with non-trivial stochastic models. We present a novel Hamiltonian Monte Carlo method for boosting Bayesian parameter inference of nonlinear stochastic differential equation models. The algorithm relies on the reinterpretation of the posterior distribution as the partition function of a statistical mechanics system akin to a polymer. We thus reduce the Bayesian inference problem to simulating the dynamics of a fictitious linear molecule whose dynamics are confined by the data and the model. Our approach is very efficient, applicable to a wide range of inference problems and highly parallelizable. |
URI: | https://digitalcollection.zhaw.ch/handle/11475/7744 |
Volltext Version: | Publizierte Version |
Lizenz (gemäss Verlagsvertrag): | Keine Angabe |
Departement: | Life Sciences und Facility Management |
Organisationseinheit: | Institut für Computational Life Sciences (ICLS) |
Enthalten in den Sammlungen: | Publikationen Life Sciences und Facility Management |
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Ulzega, S. (2017, June). A Hamiltonian Monte Carlo method for boosting Bayesian parameter inference of stochastic differential equation models. NDES 2017, 25th Nonlinear Dynamics of Electronic Systems Conference, Zernez, 5-7 June 2017.
Ulzega, S. (2017) ‘A Hamiltonian Monte Carlo method for boosting Bayesian parameter inference of stochastic differential equation models’, in NDES 2017, 25th Nonlinear Dynamics of Electronic Systems Conference, Zernez, 5-7 June 2017.
S. Ulzega, “A Hamiltonian Monte Carlo method for boosting Bayesian parameter inference of stochastic differential equation models,” in NDES 2017, 25th Nonlinear Dynamics of Electronic Systems Conference, Zernez, 5-7 June 2017, Jun. 2017.
ULZEGA, Simone, 2017. A Hamiltonian Monte Carlo method for boosting Bayesian parameter inference of stochastic differential equation models. In: NDES 2017, 25th Nonlinear Dynamics of Electronic Systems Conference, Zernez, 5-7 June 2017. Conference presentation. Juni 2017
Ulzega, Simone. 2017. “A Hamiltonian Monte Carlo Method for Boosting Bayesian Parameter Inference of Stochastic Differential Equation Models.” Conference presentation. In NDES 2017, 25th Nonlinear Dynamics of Electronic Systems Conference, Zernez, 5-7 June 2017.
Ulzega, Simone. “A Hamiltonian Monte Carlo Method for Boosting Bayesian Parameter Inference of Stochastic Differential Equation Models.” NDES 2017, 25th Nonlinear Dynamics of Electronic Systems Conference, Zernez, 5-7 June 2017, 2017.
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