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arXiv · 2112.10971

Differentiated uniformization: A new method for inferring Markov chains on combinatorial state spaces including stochastic epidemic models

Kevin Rupp·Rudolf Schill·Jonas Süskind·Peter Georg·Maren Klever·Andreas Lösch·Lars Grasedyck·Tilo Wettig·Rainer Spang
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Abstract

Motivation: We consider continuous-time Markov chains that describe the stochastic evolution of a dynamical system by a transition-rate matrix $Q$ which depends on a parameter $θ$. Computing the probability distribution over states at time $t$ requires the matrix exponential $\exp(tQ)$, and inferring $θ$ from data requires its derivative $\partial\exp\!(tQ)/\partialθ$. Both are challenging to compute when the state space and hence the size of $Q$ is huge. This can happen when the state space consists of all combinations of the values of several interacting discrete variables. Often it is even impossible to store $Q$. However, when $Q$ can be written as a sum of tensor products, computing $\exp(tQ)$ becomes feasible by the uniformization method, which does not require explicit storage of $Q$. Results: Here we provide an analogous algorithm for computing $\partial\exp\!(tQ)/\partialθ$, the differentiated uniformization method. We demonstrate our algorithm for the stochastic SIR model of epidemic spread, for which we show that $Q$ can be written as a sum of tensor products. We estimate monthly infection and recovery rates during the first wave of the COVID-19 pandemic in Austria and quantify their uncertainty in a full Bayesian analysis. Availability: Implementation and data are available at https://github.com/spang-lab/TenSIR.

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Kevin Rupp, Rudolf Schill, Jonas Süskind, Peter Georg, Maren Klever, Andreas Lösch, Lars Grasedyck, Tilo Wettig, Rainer Spang. 2021-12-21. Differentiated uniformization: A new method for inferring Markov chains on combinatorial state spaces including stochastic epidemic models. https://arxiv.org/abs/2112.10971

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