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Numerical Gaussian Processes for Time-Dependent and Nonlinear Partial Differential Equations
2018
SIAM Journal on Scientific Computing
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 (b) we are interested in quantifying the uncertainty associated with such noisy data in our solutions to timedependent partial
doi:10.1137/17m1120762
fatcat:jwjiodpcmveanccvh6rzclrrry