Approximate Latent Force Model Inference

Physically-inspired latent force models offer an interpretable alternative to purely data driven tools for inference in dynamical systems. They carry the structure of differential equations and the flexibility of Gaussian processes, yielding interpretable parameters and dynamics-imposed latent functions. However, the existing inference techniques rely on the exact computation of posterior kernels which are seldom available in analytical form. Applications relevant to practitioners, such as diffusion equations, are hence intractable. We overcome these computational problems by proposing a variational solution to a general class of non-linear and parabolic partial latent force models. We demonstrate the efficacy and flexibility of our framework by achieving competitive performance on several tasks.