Numerical Gaussian Processes for Time-Dependent and Nonlinear Partial Differential Equations
Numerical Gaussian Processes for Time-Dependent and Nonlinear Partial Differential Equations
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 (a) all we observe are noisy data on black-box initial conditions, and …