Data-driven Modeling and Inference for Bayesian Gaussian Process ODEs via Double Normalizing Flows

• URL: http://arxiv.org/abs/2309.09222v2
• Date: Tue, 2 Jan 2024 13:09:37 GMT
• Title: Data-driven Modeling and Inference for Bayesian Gaussian Process ODEs via Double Normalizing Flows
• Authors: Jian Xu, Shian Du, Junmei Yang, Xinghao Ding, John Paisley, Delu Zeng
• Abstract summary: We introduce normalizing flows to re parameterize the ODE vector field, resulting in a data-driven prior distribution. We also apply normalizing flows to the posterior inference of GP ODEs to resolve the issue of strong mean-field assumptions. We validate the effectiveness of our approach on simulated dynamical systems and real-world human motion data.
• Score: 28.62579476863723
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Recently, Gaussian processes have been used to model the vector field of continuous dynamical systems, referred to as GPODEs, which are characterized by a probabilistic ODE equation. Bayesian inference for these models has been extensively studied and applied in tasks such as time series prediction. However, the use of standard GPs with basic kernels like squared exponential kernels has been common in GPODE research, limiting the model's ability to represent complex scenarios. To address this limitation, we introduce normalizing flows to reparameterize the ODE vector field, resulting in a data-driven prior distribution, thereby increasing flexibility and expressive power. We develop a data-driven variational learning algorithm that utilizes analytically tractable probability density functions of normalizing flows, enabling simultaneous learning and inference of unknown continuous dynamics. Additionally, we also apply normalizing flows to the posterior inference of GP ODEs to resolve the issue of strong mean-field assumptions in posterior inference. By applying normalizing flows in both these ways, our model improves accuracy and uncertainty estimates for Bayesian Gaussian Process ODEs. We validate the effectiveness of our approach on simulated dynamical systems and real-world human motion data, including time series prediction and missing data recovery tasks. Experimental results show that our proposed method effectively captures model uncertainty while improving accuracy.

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