Infinite-dimensional optimization and Bayesian nonparametric learning of stochastic differential equations
Arnab Ganguly, Riten Mitra, Jinpu Zhou.
Year: 2023, Volume: 24, Issue: 159, Pages: 1−39
Abstract
The paper has two major themes. The first part of the paper establishes certain general results for infinite-dimensional optimization problems on Hilbert spaces. These results cover the classical representer theorem and many of its variants as special cases and offer a wider scope of applications. The second part of the paper then develops a systematic approach for learning the drift function of a stochastic differential equation by integrating the results of the first part with Bayesian hierarchical framework. Importantly, our Bayesian approach incorporates low-cost sparse learning through proper use of shrinkage priors while allowing proper quantification of uncertainty through posterior distributions. Several examples at the end illustrate the accuracy of our learning scheme.