title: Boosting Bayesian parameter inference of nonlinear stochastic differential equation models by Hamiltonian scale separation.
abstract: Parameter inference is a fundamental problem in data-driven modeling. Given observed data that is believed to be a realization of some parameterized model, the aim is to find parameter values that are able to explain the observed data. In many situations, the dominant sources of uncertainty must be included into the model for making reliable predictions. This naturally leads to stochastic models. Stochastic models render parameter inference much harder, as the aim then is to find a distribution of likely parameter values. In Bayesian statistics, which is a consistent framework for data-driven learning, this so-called posterior distribution can be used to make probabilistic predictions. We propose a novel, exact, and very efficient approach for generating posterior parameter distributions for stochastic differential equation models calibrated to measured time series. The algorithm is inspired by reinterpreting the posterior distribution as a statistical mechanics partition function of an object akin to a polymer, where the measurements are mapped on heavier beads compared to those of the simulated data. To arrive at distribution samples, we employ a Hamiltonian Monte Carlo approach combined with a multiple time-scale integration. A separation of time scales naturally arises if either the number of measurement points or the number of simulation points becomes large. Furthermore, at least for one-dimensional problems, we can decouple the harmonic modes between measurement points and solve the fastest part of their dynamics analytically. Our approach is applicable to a wide range of inference problems and is highly parallelizable.
authors.affiliation: Eawag, Swiss Federal Institute of Aquatic Science and Technology, 8600 Dübendorf, Switzerland.
authors.forename: Carlo
authors.initials: C
authors.lastname: Albert
authors.affiliation: Eawag, Swiss Federal Institute of Aquatic Science and Technology, 8600 Dübendorf, Switzerland.
authors.forename: Simone
authors.initials: S
authors.lastname: Ulzega
authors.affiliation: Institute of Neuroinformatics and Institute of Computational Science UZH/ETHZ, Irchel Campus 8057 Zurich, Switzerland.
authors.forename: Ruedi
authors.initials: R
authors.lastname: Stoop