Variational Bridge Constructs for Grey Box Modelling with Gaussian Processes
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This paper introduces a method for inference of heterogeneous dynamical systems where part of the dynamics are known, in the form of an ordinary differential equation (ODEs), with some functional input that is unknown. Inference of such systems can be difficult, particularly when the dynamics are non-linear and the input is unknown. In this work, we place a Gaussian process (GP) prior over the input function which results in a stochastic Itô process. Using an autoregressive variational approach, we simulate samples from the resulting process and conform them to the dynamics of the system, conditioned on some observation model. We apply the approach to non-linear ODEs to evaluate the method. As a simulation-based inference method, we also show how it can be extended to models with non-Gaussian likelihoods, such as count data.
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