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The “No Sampling Parameter Estimation (NSPE)” algorithm for stochastic differential equations
Chemical Engineering Research & Design (2018)
  • Kirti M. Yenkie, Rowan University
  • Urmila Diwekar, University of Illinois at Chicago
Abstract
The parameter estimation problem in stochastic differential equations (SDEs) has gained much attention in recent years due to their increased applications in the field of pharmaceuticals, ecosystem modeling, and medical data like EKG, blood pressure, and sugar levels. The predictive power of SDEs lie in the choice of parameter values that describe the real data effectively. The classical SDE parameter estimation methods are largely based on likelihood estimation, which is computationally expensive. In this work, we propose a relatively simplified approach based on deterministic nonlinear optimization method which does not require sampling. The results from the suggested No Sampling Parameter Estimation (NSPE) algorithm for selected examples are compared with the data, results from deterministic ODE (ordinary differential equation) model and traditional methods of maximum likelihood estimation (MLE) and generalized method of moments (GMM) for SDEs. The NSPE algorithm is more accurate and reduces computation time significantly when compared to the traditional methods.
Keywords
  • Parameter estimation,
  • Uncertainty,
  • Ito process,
  • Brownian motion,
  • population dynamics,
  • process systems engineering
Publication Date
January 1, 2018
DOI
10.1016/j.cherd.2017.11.018
Citation Information
Kirti M. Yenkie and Urmila Diwekar. "The “No Sampling Parameter Estimation (NSPE)” algorithm for stochastic differential equations" Chemical Engineering Research & Design Vol. 129 (2018) p. 376 - 383
Available at: http://works.bepress.com/kirti-yenkie/2/