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research article

A Method of Moments Estimator for Interacting Particle Systems and their Mean Field Limit

Pavliotis, Grigorios A.
•
Zanoni, Andrea  
January 1, 2024
Siam-Asa Journal On Uncertainty Quantification

We study the problem of learning unknown parameters in stochastic interacting particle systems with polynomial drift, interaction, and diffusion functions from the path of one single particle in the system. Our estimator is obtained by solving a linear system which is constructed by imposing appropriate conditions on the moments of the invariant distribution of the mean field limit and on the quadratic variation of the process. Our approach is easy to implement as it only requires the approximation of the moments via the ergodic theorem and the solution of a low-dimensional linear system. Moreover, we prove that our estimator is asymptotically unbiased in the limits of infinite data and infinite number of particles (mean field limit). In addition, we present several numerical experiments that validate the theoretical analysis and show the effectiveness of our methodology to accurately infer parameters in systems of interacting particles.

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Type
research article
DOI
10.1137/22M153848X
Web of Science ID

WOS:001197889500003

Author(s)
Pavliotis, Grigorios A.
Zanoni, Andrea  
Date Issued

2024-01-01

Publisher

Siam Publications

Published in
Siam-Asa Journal On Uncertainty Quantification
Volume

12

Issue

2

Start page

262

End page

288

Subjects

Physical Sciences

•

Interacting Particle System

•

Mean Field Limit

•

Inference

•

Fokker-Planck Equation

•

Moments

•

Ergodicity

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
CSQI  
FunderGrant Number

EPSRC

EP/P031587/1

JPMorgan Chase Co.

Swiss National Science Foundation

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Available on Infoscience
April 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/207373
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