Parameter estimation for nonlinear dynamic system models, represented by ordinary differential equations (ODEs), using noisy and sparse experimental data is a vital task in many fields. We propose a fast and accurate method, MAGI (MAnifold-constrained Gaussian process Inference), for this task. MAGI uses a Gaussian process model over time-series data, explicitly conditioned on the manifold constraint that derivatives of the Gaussian process must satisfy the ODE system. By doing so, we completely bypass the need for numerical integration and achieve substantial savings in computational time. MAGI is also suitable for inference with unobserved system components, which often occur in real experiments. MAGI is distinct from existing approaches as we provide a principled statistical construction under a Bayesian framework, which incorporates the ODE system through the manifold constraint.
嘉宾简介 About the Speaker
Dr. Shihao Yang is an assistant professor in School of Industrial & Systems Engineering at Georgia Tech. Prior to joining Georgia Tech, he was a post-doc in Biomedical Informatics at Harvard Medical School after finishing his PhD in statistics from Harvard University. Dr. Yang’s research focuses on data science for healthcare, with special interest in big-data infectious disease prediction, and electronic health records.