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Propose and demonstrate the regularized recursive estimation for stochastic differential equation

Research Project

Project/Area Number 18K18012
Research Category

Grant-in-Aid for Early-Career Scientists

Allocation TypeMulti-year Fund
Review Section Basic Section 60030:Statistical science-related
Research InstitutionJosai University

Principal Investigator

Shimizu Yusuke  城西大学, 理学部, 助教 (80805218)

Project Period (FY) 2018-04-01 – 2022-03-31
Project Status Completed (Fiscal Year 2021)
Budget Amount *help
¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2021: ¥390,000 (Direct Cost: ¥300,000、Indirect Cost: ¥90,000)
Fiscal Year 2020: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2019: ¥390,000 (Direct Cost: ¥300,000、Indirect Cost: ¥90,000)
Fiscal Year 2018: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Keywords確率微分方程式 / 感染症の数理モデル / SDEモデル / 逐次推定 / 正則化推定 / 積率収束 / 変数選択
Outline of Final Research Achievements

As the real data analysis of various phenomena in finance and medical described by a stochastic differential equation (SDE) model, we focus on the outbreak of the COVID-19, and propose a SDE model called the small diffusion SEIR model, in which a diffusion term is added to the SEIR model. Also, by making use of the Kalman filter estimation theory in the state-space model, which enables the sequential data processing, we conduct some numerical experiments on the sequential regularization estimation of the parameters included in the small diffusion SEIR model.

Academic Significance and Societal Importance of the Research Achievements

感染拡大の様相は偶発的であり、人口のダイナミクスモデルで表現するためには、ランダムな変動を取り込む必要があった。本研究で従来のSEIRモデルに拡散項を加えた、微小拡散SEIRモデルを考案したことにより、感染症パンデミック下における社会経済的な戦略研究において、合理的な対策を立案するために不可欠な意思決定の枠組みを、より正確に提供できるようになった。また、正則化推定により、家庭内における感染の様相や、世代間の従属関係などがより精度良く解明できる可能性があることが判明した。

Report

(5 results)
  • 2021 Annual Research Report   Final Research Report ( PDF )
  • 2020 Research-status Report
  • 2019 Research-status Report
  • 2018 Research-status Report
  • Research Products

    (3 results)

All 2021 2020 2019

All Journal Article (1 results) (of which Peer Reviewed: 1 results,  Open Access: 1 results) Presentation (2 results) (of which Invited: 1 results)

  • [Journal Article] Parameter Estimation for Small Diffusion SEIR Model2021

    • Author(s)
      清水優祐
    • Journal Title

      Transactions of the Japan Society for Industrial and Applied Mathematics

      Volume: 31 Issue: 4 Pages: 278-287

    • DOI

      10.11540/jsiamt.31.4_278

    • NAID

      130008134793

    • ISSN
      2424-0982
    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Open Access
  • [Presentation] 確率微分方程式モデルの推定手法について2020

    • Author(s)
      清水優祐
    • Organizer
      第2回統計科学セミナー
    • Related Report
      2020 Research-status Report
    • Invited
  • [Presentation] 高頻度データを用いた拡散パラメータの逐次的推定手法の考案およびその実装2019

    • Author(s)
      清水優祐
    • Organizer
      CREST・さきがけ・AIMaP合同シンポジウム「数学パワーが世界を変える2019」
    • Related Report
      2018 Research-status Report

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Published: 2018-04-23   Modified: 2023-01-30  

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