Bi-Level optimization for parameter estimation of differential equations using interpolation

Abstract: Inverse problem or parameter estimation of ordinary differential equations is a process of obtaining the best parameters using experimental measurements of the states. Single (Multiple)-shooting is a type of sequential optimization method that minimizes the error in the measured and numerically integrated states. However, this requires computing sensitivities i.e. the derivatives of states with respect to the parameters over the numerical integrator, which can get computationally expensive. To address this challenge, many interpolation-based approaches have been proposed to either reduce the computational cost of sensitivity calculations or eliminate their need. In this paper, we use a bi-level optimization framework that leverages interpolation and exploits the structure of the differential equation to solve an inner convex optimization problem. We apply this method to two different problem formulations. First, parameter estimation for differential equations, and delayed differential equations, where the model structure is known but the parameters are unknown. Second, model discovery problems, where both the model structure and parameters are unknown.