Umberto Picchini

Chalmers University of Technology and University of Gothenburg

Bayesian inference for mixed-effects models driven by SDEs and other stochastic models: a scalable approach.

Statistics Seminar

1st April 2022, 3:00 pm – 4:00 pm
Virtual Seminar, Zoom link: TBA

An important, and well studied, class of stochastic models is given by stochastic differential equations (SDEs). In this talk, we consider Bayesian inference based on measurements from several individuals, to provide inference at the "population level" using mixed-effects modelling. We consider the case where dynamics are expressed via SDEs or other stochastic (Markovian) models. Stochastic differential equation mixed-effects models (SDEMEMs) are flexible hierarchical models that account for (i) the intrinsic random variability in the latent states dynamics, as well as (ii) the variability between individuals, and also (iii) account for measurement error. This flexibility gives rise to methodological and computational difficulties.
Fully Bayesian inference for nonlinear SDEMEMs is complicated by the typical intractability of the observed data likelihood which motivates the use of sampling-based approaches such as Markov chain Monte Carlo. A Gibbs sampler is proposed to target the marginal posterior of all parameters of interest. The algorithm is made computationally efficient through careful use of blocking strategies, particle filters (sequential Monte Carlo) and correlated pseudo-marginal approaches. The resulting methodology is is flexible, general and is able to deal with a large class of nonlinear SDEMEMs [1]. In a more recent work [2], we also explored ways to make inference even more scalable to an increasing number of individuals, while also dealing with state-space models driven by other stochastic dynamic models than SDEs, eg Markov jump processes and nonlinear solvers typically used in systems biology.

[1] S. Wiqvist, A. Golightly, AT McLean, U. Picchini (2020). Efficient inference for stochastic differential mixed-effects models using correlated particle pseudo-marginal algorithms, CSDA,

[2] S. Persson, N. Welkenhuysen, S. Shashkova, S. Wiqvist, P. Reith, G. W. Schmidt, U. Picchini, M. Cvijovic (2021). PEPSDI: Scalable and flexible inference framework for stochastic dynamic single-cell models, bioRxiv doi:10.1101/2021.07.01.450748.

Organiser: Henry Reeve

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