This respository contains code for performing parameter estimation in interacting particle systems. The code currently provides the following functionality:

• 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.

• 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).