Explicit Estimation of Derivatives from Data and Differential Equations by Gaussian Process Regression

Abstract: In this work, we employ the Bayesian inference framework to solve the problem of estimating the solution and particularly, its derivatives, which satisfy a known differential equation, from the given noisy and scarce observations of the solution data only. To address the key issue of accuracy and robustness of derivative estimation, we use the Gaussian processes to jointly model the solution, the derivatives, and the differential equation. By regarding the linear differential equation as a linear constraint, a Gaussian process regression with constraint method (GPRC) is developed to improve the accuracy of prediction of derivatives. For nonlinear differential equations, we propose a Picard-iteration-like approximation of linearization around the Gaussian process obtained only from data so that our GPRC can be still iteratively applicable. Besides, a product of experts method is applied to ensure the initial or boundary condition is considered to further enhance the prediction accuracy of the derivatives. We present several numerical results to illustrate the advantages of our new method in comparison to the standard data-driven Gaussian process regression.