Bayesian Reasoning for Physics Informed Neural Networks

Physics informed neural network (PINN) approach in Bayesian formulation is presented. We adopt the Bayesian neural network framework formulated by MacKay (Neural Computation 4 (3) (1992) 448). The posterior densities are obtained from Laplace approximation. For each model (fit), the so-called evidence is computed. It is a measure that classifies the hypothesis. The most optimal solution has the maximal value of the evidence. The Bayesian framework allows us to control the impact of the boundary contribution to the total loss. Indeed, the relative weights of loss components are fine-tuned by the Bayesian algorithm. We solve heat, wave, and Burger's equations. The obtained results are in good agreement with the exact solutions. All solutions are provided with the uncertainties computed within the Bayesian framework.