Computational issues and numerical experiments for Linear Multistep Method Particle Filtering

TL;DR

This paper investigates the computational aspects of the Linear Multistep Method Particle Filter (LMM PF) for time-evolving systems governed by differential equations, emphasizing parameter estimation and uncertainty quantification.

Contribution

It introduces an analysis of the numerical issues in LMM PF and compares its performance with Runge-Kutta methods in a metabolic system application.

Findings

LMM PF's accuracy depends on the choice of the multistep method.

Replacing LMM with Runge-Kutta methods affects computational efficiency and accuracy.

Numerical experiments reveal sources of errors and their impact on parameter estimation.

Abstract

The Linear Multistep Method Particle Filter (LMM PF) is a method for predicting the evolution in time of a evolutionary system governed by a system of differential equations. If some of the parameters of the governing equations are unknowns, it is possible to organize the calculations so as to estimate them while following the evolution of the system in time. The underlying assumption in the approach that we present is that all unknowns are modelled as random variables, where the randomness is an indication of the uncertainty of their values rather than an intrinsic property of the quantities. Consequently, the states of the system and the parameters are described in probabilistic terms by their density, often in the form of representative samples. This approach is particularly attractive in the context of parameter estimation inverse problems, because the statistical formulation naturally provides a means of assessing the uncertainty in the solution via the spread of the distribution. The computational efficiency of the underlying sampling technique is crucial for the success of the method, because the accuracy of the solution depends on the ability to produce representative samples from the distribution of the unknown parameters. In this paper LMM PF is tested on a skeletal muscle metabolism problem, which was previously treated within the Ensemble Kalman filtering framework. Here numerical evidences are used to highlight the correlation between the main sources of errors and the influence of the linera multistep method adopted. Finally, we analyzed the effect of replacing LMM with Runge-Kutta class integration methods for supporting the PF technique.