This respository contains code for performing parameter estimation in interacting particle systems. The code currently provides the following functionality:
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Offline Parameter Estimation
- (Penalised) Maximum Likelihood Estimation for Mean Field Models.
- (Penalised) Maximum Likelihood Estimation for Interacting Particle Systems with non-linear drifts, linear interactions, and additive noise.
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Online Parameter Estimation
- Recursive Maximum Likelihood Estimation for Mean Field Models, using stochastic gradient descent in continuous time (SGDCT).
- Recursive Maximum Likelihood Estimation for Interacting Particle Systems with non-linear drifts, linear interactions, and additive noise, using stochastic gradient descent in continuous time (SGDCT).