Sparse discovery of differential equations based on multi-fidelity Gaussian process
Y. Meng (TU Delft - Numerical Analysis)
Y. Qiu (Chongqing University, TU Delft - Numerical Analysis)
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Abstract
Sparse identification of differential equations aims to compute the analytic expressions from the observed data explicitly. However, there exist two primary challenges. Firstly, it exhibits sensitivity to the noise in the observed data, particularly for the derivatives computations. Secondly, existing literature predominantly concentrates on single-fidelity (SF) data, which imposes limitations on its applicability due to the computational cost. In this paper, we present two novel approaches to address these problems from the view of uncertainty quantification. We construct a surrogate model employing the Gaussian process regression (GPR) to mitigate the effect of noise in the observed data, quantify its uncertainty, and ultimately recover the equations accurately. Subsequently, we exploit the multi-fidelity Gaussian processes (MFGP) to address scenarios involving multi-fidelity (MF), sparse, and noisy observed data. We demonstrate the robustness and effectiveness of our methodologies through several numerical experiments.