Vectorized and parallel particle filter SMC parameter estimation for stiff ODEs

DOI10.3934/proc.2015.0075zbMath1338.65008arXiv1411.1702OpenAlexW2963403356MaRDI QIDQ260714

Erkki Somersalo, Andrea Arnold, Daniela Calvetti

Publication date: 22 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.1702

zbMATH Keywords

Markov chain Monte Carloparallel computinglinear multistep methodsvectorizationparticle filters

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Parallel numerical computation (65Y05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

Related Items

When artificial parameter evolution gets real: particle filtering for time-varying parameter estimation in deterministic dynamical systems

Uses Software

• Matlab
• LibBi
• vSMC

Cites Work

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• Parallel particle filtering
• Linear multistep methods, particle filtering and sequential Monte Carlo
• A First Course in the Numerical Analysis of Differential Equations
• Filtering via Simulation: Auxiliary Particle Filters
• Large‐Scale Statistical Parameter Estimation in Complex Systems with an Application to Metabolic Models
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
• Goal-Oriented Inference: Approach, Linear Theory, and Application to Advection Diffusion