Publications de Andrea Zanoni | EPFL Graph Search

A Method of Moments Estimator for Interacting Particle Systems and their Mean Field Limit

We study the problem of learning unknown parameters in stochastic interacting particle systems with polynomial drift, interaction, and diffusion functions from the path of one single particle in the system. Our estimator is obtained by solving a linear sys ...

Siam Publications2024

Drift Estimation of Multiscale Diffusions Based on Filtered Data

Assyr Abdulle, Giacomo Garegnani, Andrea Zanoni, Grigorios A. Pavliotis

We study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating the drift coeffic ...

2023

Homogenization results for the generator of multiscale Langevin dynamics in weighted Sobolev spaces

Andrea Zanoni

We study the homogenization of the Poisson equation with a reaction term and of the eigenvalue problem associated to the generator of multiscale Langevin dynamics. Our analysis extends the theory of two-scale convergence to the case of weighted Sobolev spa ...

OXFORD UNIV PRESS2023

Filtered data and eigenfunction estimators for statistical inference of multiscale and interacting diffusion processes

Andrea Zanoni

We study the problem of learning unknown parameters of stochastic dynamical models from data. Often, these models are high dimensional and contain several scales and complex structures. One is then interested in obtaining a reduced, coarse-grained descript ...

EPFL2022

Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale diffusions

Assyr Abdulle, Andrea Zanoni

We propose a novel method for drift estimation of multiscale diffusion processes when a sequence of discrete observations is given. For the Langevin dynamics in a two-scale potential, our approach relies on the eigenvalues and the eigenfunctions of the hom ...

SPRINGER2022

Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit

Andrea Zanoni

We study the problem of parameter estimation for large exchangeable interacting particle systems when a sample of discrete observations from a single particle is known. We propose a novel method based on martingale estimating functions constructed by emplo ...

Siam Publications2022

Artificial intelligence-based prediction of transfusion in the intensive care unit in patients with gastrointestinal bleeding

Andrea Zanoni

Objective Gastrointestinal (GI) bleeding commonly requires intensive care unit (ICU) in cases of potentialhaemodynamiccompromise or likely urgent intervention. However, manypatientsadmitted to the ICU stop bleeding and do not require further intervention, ...

BMJ PUBLISHING GROUP2021

Ensemble Kalman Filter For Multiscale Inverse Problems

Assyr Abdulle, Giacomo Garegnani, Andrea Zanoni

We present a novel algorithm based on the ensemble Kalman filter to solve inverse problems involving multiscale elliptic partial differential equations. Our method is based on numerical homogenization and finite element discretization and allows us to reco ...

SIAM PUBLICATIONS2020