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Systematic physics constrained parameter estimation of stochastic differential equations
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Peavoy, Daniel, Franzke, Christian and Roberts, Gareth O. (2015) Systematic physics constrained parameter estimation of stochastic differential equations. Computational Statistics & Data Analysis, 83 . pp. 182-199. doi:10.1016/j.csda.2014.10.011 ISSN 0167-9473.
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Official URL: http://dx.doi.org/10.1016/j.csda.2014.10.011
Abstract
A systematic Bayesian framework is developed for physics constrained parameter inference of stochastic differential equations (SDE) from partial observations. Physical constraints are derived for stochastic climate models but are applicable for many fluid systems. A condition is derived for global stability of stochastic climate models based on energy conservation. Stochastic climate models are globally stable when a quadratic form, which is related to the cubic nonlinear operator, is negative definite. A new algorithm for the efficient sampling of such negative definite matrices is developed and also for imputing unobserved data which improve the accuracy of the parameter estimates. The performance of this framework is evaluated on two conceptual climate models.
Item Type: | Journal Article | ||||||||||
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Subjects: | Q Science > QC Physics | ||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||||
Library of Congress Subject Headings (LCSH): | Climatic changes -- Mathematical models, Stochastic differential equations | ||||||||||
Journal or Publication Title: | Computational Statistics & Data Analysis | ||||||||||
Publisher: | Elsevier Science | ||||||||||
ISSN: | 0167-9473 | ||||||||||
Official Date: | March 2015 | ||||||||||
Dates: |
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Volume: | 83 | ||||||||||
Page Range: | pp. 182-199 | ||||||||||
DOI: | 10.1016/j.csda.2014.10.011 | ||||||||||
Status: | Peer Reviewed | ||||||||||
Publication Status: | Published | ||||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||||
Funder: | Natural Environment Research Council (Great Britain) (NERC), Engineering and Physical Sciences Research Council (EPSRC), Deutsche Forschungsgemeinschaft (DFG) | ||||||||||
Adapted As: |
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