Numerical Gaussian processes for time-dependent and nonlinear partial differential equations
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Publication:3130409
DOI10.1137/17M1120762zbMATH Open1386.65030arXiv1703.10230OpenAlexW2605147767MaRDI QIDQ3130409FDOQ3130409
Authors: Maziar Raissi, Paris Perdikaris, George Em Karniadakis 
Publication date: 22 January 2018
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Abstract: We introduce the concept of numerical Gaussian processes, which we define as Gaussian processes with covariance functions resulting from temporal discretization of time-dependent partial differential equations. Numerical Gaussian processes, by construction, are designed to deal with cases where: (1) all we observe are noisy data on black-box initial conditions, and (2) we are interested in quantifying the uncertainty associated with such noisy data in our solutions to time-dependent partial differential equations. Our method circumvents the need for spatial discretization of the differential operators by proper placement of Gaussian process priors. This is an attempt to construct structured and data-efficient learning machines, which are explicitly informed by the underlying physics that possibly generated the observed data. The effectiveness of the proposed approach is demonstrated through several benchmark problems involving linear and nonlinear time-dependent operators. In all examples, we are able to recover accurate approximations of the latent solutions, and consistently propagate uncertainty, even in cases involving very long time integration.
Full work available at URL: https://arxiv.org/abs/1703.10230
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uncertainty quantificationBayesian modelinglinear multistep methodsRunge-Kutta methodsprobabilistic machine learning
Learning and adaptive systems in artificial intelligence (68T05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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