Bayesian Optimal Design for Ordinary Differential Equation Models

Bayesian optimal design is considered for experiments where it is hypothesised that the responses are described by the intractable solution to a system of non-linear ordinary differential equations (ODEs). Bayesian optimal design is based on the minimisation of an expected loss function where the expectation is with respect to all unknown quantities (responses and parameters). This expectation is typically intractable even for simple models before even considering the intractability of the ODE solution. New methodology is developed for this problem that involves minimising a smoothed stochastic approximation to the expected loss and using a state-of-the-art stochastic solution to the ODEs, by treating the ODE solution as an unknown quantity. The methodology is demonstrated on three illustrative examples and a real application involving estimating the properties of human placentas

Piecewise Volterra modelling of the Duffing oscillator in the frequency domain

When analysing the nonlinear Duffing oscillator, the weak nonlinearity is basically dependent on the amplitude range of the input excitation. The nonlinear differential equation models of such nonlinear oscillators, which can be transformed into the frequency domain, can generally only provide Volterra modelling and analysis in the frequency-domain over a fraction of the entire framework of weak nonlinearity. This paper discusses the problem of using a new non-parametric routine to extend the capability of Volterra analysis, in the frequency domain, to weakly nonlinear Duffing systems at a wider range of excitation amplitude range which the current underlying nonlinear differential equation models fail to address

Inference for Differential Equation Models using Relaxation via Dynamical Systems

Statistical regression models whose mean functions are represented by ordinary differential equations (ODEs) can be used to describe phenomenons dynamical in nature, which are abundant in areas such as biology, climatology and genetics. The estimation of parameters of ODE based models is essential for understanding its dynamics, but the lack of an analytical solution of the ODE makes the parameter estimation challenging. The aim of this paper is to propose a general and fast framework of statistical inference for ODE based models by relaxation of the underlying ODE system. Relaxation is achieved by a properly chosen numerical procedure, such as the Runge-Kutta, and by introducing additive Gaussian noises with small variances. Consequently, filtering methods can be applied to obtain the posterior distribution of the parameters in the Bayesian framework. The main advantage of the proposed method is computation speed. In a simulation study, the proposed method was at least 14 times faster than the other methods. Theoretical results which guarantee the convergence of the posterior of the approximated dynamical system to the posterior of true model are presented. Explicit expressions are given that relate the order and the mesh size of the Runge-Kutta procedure to the rate of convergence of the approximated posterior as a function of sample size