Abstract:Mechanistic knowledge about the physical world is virtually always expressed via partial differential equations (PDEs). Recently, there has been a surge of interest in probabilistic PDE solvers -- Bayesian statistical models mostly based on Gaussian process (GP) priors which seamlessly combine empirical measurements and mechanistic knowledge. As such, they quantify uncertainties arising from e.g. noisy or missing data, unknown PDE parameters or discretization error by design. Prior work has established connections to classical PDE solvers and provided solid theoretical guarantees. However, scaling such methods to large-scale problems remains a fundamental challenge primarily due to dense covariance matrices. Our approach addresses the scalability issues by leveraging the Markov property of many commonly used GP priors. It has been shown that such priors are solutions to stochastic PDEs (SPDEs) which when discretized allow for highly efficient GP regression through sparse linear algebra. In this work, we show how to leverage this prior class to make probabilistic PDE solvers practical, even for large-scale nonlinear PDEs, through greatly accelerated inference mechanisms. Additionally, our approach also allows for flexible and physically meaningful priors beyond what can be modeled with covariance functions. Experiments confirm substantial speedups and accelerated convergence of our physics-informed priors in nonlinear settings.
Abstract:Modeling real-world problems with partial differential equations (PDEs) is a prominent topic in scientific machine learning. Classic solvers for this task continue to play a central role, e.g. to generate training data for deep learning analogues. Any such numerical solution is subject to multiple sources of uncertainty, both from limited computational resources and limited data (including unknown parameters). Gaussian process analogues to classic PDE simulation methods have recently emerged as a framework to construct fully probabilistic estimates of all these types of uncertainty. So far, much of this work focused on theoretical foundations, and as such is not particularly data efficient or scalable. Here we propose a framework combining a discretization scheme based on the popular Finite Volume Method with complementary numerical linear algebra techniques. Practical experiments, including a spatiotemporal tsunami simulation, demonstrate substantially improved scaling behavior of this approach over previous collocation-based techniques.