Modeling the complex interactions of systems of particles or agents is a fundamental scientific and mathematical problem that is studied in diverse fields, ranging from physics and biology, to economics and machine learning. In this work, we describe a very general second-order, heterogeneous, multivariable, interacting agent model, with an environment, that encompasses a wide variety of known systems. We describe an inference framework that uses nonparametric regression and approximation theory based techniques to efficiently derive estimators of the interaction kernels which drive these dynamical systems. We develop a complete learning theory which establishes strong consistency and optimal nonparametric min-max rates of convergence for the estimators, as well as provably accurate predicted trajectories. The estimators exploit the structure of the equations in order to overcome the curse of dimensionality and we describe a fundamental coercivity condition on the inverse problem which ensures that the kernels can be learned and relates to the minimal singular value of the learning matrix. The numerical algorithm presented to build the estimators is parallelizable, performs well on high-dimensional problems, and is demonstrated on complex dynamical systems.

Systems of interacting particles or agents have wide applications in many disciplines such as Physics, Chemistry, Biology and Economics. These systems are governed by interaction laws, which are often unknown: estimating them from observation data is a fundamental task that can provide meaningful insights and accurate predictions of the behaviour of the agents. In this paper, we consider the inverse problem of learning interaction laws given data from multiple trajectories, in a nonparametric fashion, when the interaction kernels depend on pairwise distances. We establish a condition for learnability of interaction kernels, and construct estimators that are guaranteed to converge in a suitable $L^2$ space, at the optimal min-max rate for 1-dimensional nonparametric regression. We propose an efficient learning algorithm based on least squares, which can be implemented in parallel for multiple trajectories and is therefore well-suited for the high dimensional, big data regime. Numerical simulations on a variety examples, including opinion dynamics, predator-swarm dynamics and heterogeneous particle dynamics, suggest that the learnability condition is satisfied in models used in practice, and the rate of convergence of our estimator is consistent with the theory. These simulations also suggest that our estimators are robust to noise in the observations, and produce accurate predictions of dynamics in relative large time intervals, even when they are learned from data collected in short time intervals.

W e derive streamlined mean field variational Bayes algorithms for fitting linear mixed models with crossed random effects. In the most general situation, where the dimensions of the crossed groups are arbitrarily large, streamlining is hindered by lack of sparseness in the underlying least squares system. Because of this fact we also consider a hierarchy of relaxations of the mean field product restriction. The least stringent product restriction delivers a high degree of inferential accuracy . However, this accuracy must be mitigated against its higher storage and computing demands. Faster sparse storage and computing alternatives are also provided, but come with the price of diminished inferential accuracy . This article provides full algorithmic details of three variational inference strategies, presents detailed empirical results on their pros and cons and, thus, guides the users on their choice of variational inference approach depending on the problem size and computing resources. Keywords: Mean field variational Bayes; item response theory; Rasch analysis; scalable statistical methodology; sparse least squares systems.