Latent-Variable Learning of SPDEs via Wiener Chaos

• URL: http://arxiv.org/abs/2602.11794v1
• Date: Thu, 12 Feb 2026 10:19:43 GMT
• Title: Latent-Variable Learning of SPDEs via Wiener Chaos
• Authors: Sebastian Zeng, Andreas Petersson, Wolfgang Bock,
• Abstract summary: We study the problem of learning the law of linear partial differential equations (SPDEs) with additive Gaussian forcing from observations.<n>Our approach combines a spectral Galerkin projection with a truncated Wiener chaos expansion, yielding a separation between evolution and forcing domains.<n>This reduces the infinite-dimensional deterministic SPDE to a finite system of parametrized ordinary differential equations governing latent temporal dynamics.
• Score: 2.0901018134712297
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We study the problem of learning the law of linear stochastic partial differential equations (SPDEs) with additive Gaussian forcing from spatiotemporal observations. Most existing deep learning approaches either assume access to the driving noise or initial condition, or rely on deterministic surrogate models that fail to capture intrinsic stochasticity. We propose a structured latent-variable formulation that requires only observations of solution realizations and learns the underlying randomly forced dynamics. Our approach combines a spectral Galerkin projection with a truncated Wiener chaos expansion, yielding a principled separation between deterministic evolution and stochastic forcing. This reduces the infinite-dimensional SPDE to a finite system of parametrized ordinary differential equations governing latent temporal dynamics. The latent dynamics and stochastic forcing are jointly inferred through variational learning, allowing recovery of stochastic structure without explicit observation or simulation of noise during training. Empirical evaluation on synthetic data demonstrates state-of-the-art performance under comparable modeling assumptions across bounded and unbounded one-dimensional spatial domains.

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