Modeling and Calibration for Some Stochastic Differential Models
dc.contributor.author | Moujahid, Abdelmalik | |
dc.contributor.author | Vadillo Arroyo, Fernando | |
dc.date.accessioned | 2023-01-10T17:32:54Z | |
dc.date.available | 2023-01-10T17:32:54Z | |
dc.date.issued | 2022-11-28 | |
dc.identifier.citation | Fractal and Fractional 6(12) : (2022) // Article ID 707 | es_ES |
dc.identifier.issn | 2504-3110 | |
dc.identifier.uri | http://hdl.handle.net/10810/59212 | |
dc.description.abstract | In many scientific fields, the dynamics of the system are often known, and the main challenge is to estimate the parameters that model the behavior of the system. The question then arises whether one can use experimental measurements of the system response to derive the parameters? This problem has been addressed in many papers that focus mainly on data from a deterministic model, but few efforts have been made to use stochastic data instead. In this paper, we address this problem using the following procedure: first, we build the probabilistic stochastic differential models using a natural extension of the commonly used deterministic models. Then, we use the data from the stochastic models to estimate the model parameters by solving a nonlinear regression problem. Since the stochastic solutions are not differentiable, we use the well-known Nelder–Mead algorithm. Our numerical results show that the fitting procedure is able to obtain good estimates of the parameters requiring only a few sample data. | es_ES |
dc.description.sponsorship | This work was supported by Spanish Ministry of Sciences Innovation and Universities with the project PGC2018-094522-B-100 and by the Basque Government with the project IT1247-19. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | MDPI | es_ES |
dc.relation | info:eu-repo/grantAgreement/MICIU/PGC2018-094522-B-100 | es_ES |
dc.rights | info:eu-repo/semantics/openAccess | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
dc.subject | stochastic differential models | es_ES |
dc.subject | nonlinear regression | es_ES |
dc.title | Modeling and Calibration for Some Stochastic Differential Models | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.date.updated | 2022-12-22T14:35:41Z | |
dc.rights.holder | © 2022 by the authors.Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/ 4.0/). | es_ES |
dc.relation.publisherversion | https://www.mdpi.com/2504-3110/6/12/707 | es_ES |
dc.identifier.doi | 10.3390/fractalfract6120707 | |
dc.departamentoes | Matemáticas | |
dc.departamentoeu | Matematika |
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Except where otherwise noted, this item's license is described as © 2022 by the authors.Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/ 4.0/).