A High Accuracy Stochastic Estimation of a Nonlinear Deterministic Model
Methodology
2015-11-13 v1
Abstract
In this paper, an approach to estimating a nonlinear deterministic model is presented. We introduce a stochastic model with extremely small variances so that the deterministic and stochastic models are essentially indistinguishable from each other. This point is explained in the paper. The estimation is then carried out using stochastic optimisation based on Markov chain Monte Carlo (MCMC) methods.
Cite
@article{arxiv.1511.03968,
title = {A High Accuracy Stochastic Estimation of a Nonlinear Deterministic Model},
author = {Spyridon J. Hatjispyros and Stephen G. Walker},
journal= {arXiv preprint arXiv:1511.03968},
year = {2015}
}