Papers › Bayesian operator inference for data-driven reduced-order modeling
Bayesian operator inference for data-driven reduced-order modeling
Mengwu Guo, Shane A. McQuarrie, Karen E. Willcox
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This work proposes a Bayesian inference method for the reduced-order modeling of time-dependent systems. Informed by the structure of the governing equations, the task of learning a reduced-order model from data is posed as a Bayesian inverse problem with Gaussian prior and likelihood. The resulting posterior distribution characterizes the operators defining the reduced-order model, hence the predictions subsequently issued by the reduced-order model are endowed with uncertainty. The statistical moments of these predictions are estimated via a Monte Carlo sampling of the posterior distribution. Since the reduced models are fast to solve, this sampling is computationally efficient. Furthermore, the proposed Bayesian framework provides a statistical interpretation of the regularization term that is present in the deterministic operator inference problem, and the empirical Bayes approach of maximum marginal likelihood suggests a selection algorithm for the regularization hyperparameters. The proposed method is demonstrated on two examples: the compressible Euler equations with noise-corrupted observations, and a single-injector combustion process.
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