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Laplace-aided variational inference for differential equation models

by   Hyunjoo Yang, et al.

Ordinary differential equation (ODE) model whose regression curves are a set of solution curves for some ODEs, poses a challenge in parameter estimation. The challenge due to the frequent absence of analytic solutions and the complicated likelihood surface, tends to be more severe especially for larger models with many parameters and variables. Yang and Lee (2020) proposed state-space model with variational Bayes (SSVB) for ODE, capable of fast and stable estimation in somewhat large ODE models. The method has shown excellent performance in parameter estimation but has a weakness of underestimation of the posterior covariance, which originates from the mean-field variational method. This paper proposes a way to overcome the weakness, by using the Laplace approximation. In numerical experiments, the covariance modified by the Laplace approximation showed a high degree of improvement when checked against the covariances obtained by a standard Markov chain Monte Carlo method. With the improved covariance estimation, the SSVB renders fairly accurate posterior approximations.


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