Estimation of ODE models with discretization error quantification

3 December 2019
Takeru Matsuda

We consider estimation of ordinary differential equation (ODE) models from noisy observations. For this problem, one conventional approach is to fit numerical solutions (e.g., Euler, Runge–Kutta) of ODEs to data. However, such a method does not account for the discretization error in numerical solutions and has limited estimation accuracy. In this study, we develop an estimation method that quantifies the discretization error based on data. The key idea is to model the discretization error as random variables and estimate their variance simultaneously with the ODE parameter. The proposed method has the form of iteratively reweighted least squares, where the discretization error variance is updated with the isotonic regression algorithm and the ODE parameter is updated by solving a weighted least squares problem using the adjoint system. Experimental results demonstrate that the proposed method improves estimation accuracy by accounting for the discretization error in a data-driven manner. This is a joint work with Yuto Miyatake (Osaka University).

  • Numerical Analysis Group Internal Seminar