Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation

DOI10.1137/20M1375073zbMath1484.35423arXiv2009.08693OpenAlexW3087503551MaRDI QIDQ5862897

Nikolas Kantas, Louis Sharrock

Publication date: 10 March 2022

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.08693

zbMATH Keywords

stochastic filteringonline parameter estimationoptimal sensor placementstochastic advection-diffusion equationtwo-timescale stochastic gradient descent

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Computational methods for problems pertaining to probability theory (60-08) Reaction-diffusion equations (35K57) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (3)

Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations ⋮ Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement

Uses Software

• AdaGrad
• ADADELTA

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