This is intractable for even moderatelysizedproblems.

Gaussian processes with derivative information are useful in many settings where derivative information is available, including numerous Bayesian optimization and regression tasks that arise in the natural sciences. Incorporating derivative observations, however, comes with a dominating $O(N^3D^3)$ computational cost when training on $N$ points in $D$ input dimensions. This is intractable for even moderately sized problems. While recent work has addressed this intractability in the low-$D$ setting, the high-$N$, high-$D$ setting is still unexplored and of great value, particularly as machine learning problems increasingly become high dimensional. In this paper, we introduce methods to achieve fully scalable Gaussian process regression with derivatives using variational inference. Analogous to the use of inducing values to sparsify the labels of a training set, we introduce the concept of inducing directional derivatives to sparsify the partial derivative information of the training set. This enables us to construct a variational posterior that incorporates derivative information but whose size depends neither on the full dataset size $N$ nor the full dimensionality $D$. We demonstrate the full scalability of our approach on a variety of tasks, ranging from a high dimensional Stellarator fusion regression task to training graph convolutional neural networks on PubMed using Bayesian optimization. Surprisingly, we additionally find that our approach can improve regression performance even in settings where only label data is available.

Traditional physics-informed neural networks (PINNs) do not always satisfy physics based constraints, especially when the constraints include differential operators. Rather, they minimize the constraint violations in a soft way. Strict satisfaction of differential-algebraic equations (DAEs) to embed domain knowledge and first-principles in data-driven models is generally challenging. This is because data-driven models consider the original functions to be black-box whose derivatives can only be obtained after evaluating the functions. We introduce DAE-HardNet, a physics-constrained (rather than simply physics-informed) neural network that learns both the functions and their derivatives simultaneously, while enforcing algebraic as well as differential constraints. This is done by projecting model predictions onto the constraint manifold using a differentiable projection layer. We apply DAE-HardNet to several systems and test problems governed by DAEs, including the dynamic Lotka-Volterra predator-prey system and transient heat conduction. We also show the ability of DAE-HardNet to estimate unknown parameters through a parameter estimation problem. Compared to multilayer perceptrons (MLPs) and PINNs, DAE-HardNet achieves orders of magnitude reduction in the physics loss while maintaining the prediction accuracy. It has the added benefits of learning the derivatives which improves the constrained learning of the backbone neural network prior to the projection layer. For specific problems, this suggests that the projection layer can be bypassed for faster inference. The current implementation and codes are available at https://github.com/SOULS-TAMU/DAE-HardNet.

We prove finite-sample concentration and anti-concentration bounds for dimension estimation using Gaussian kernel sums. Our bounds provide explicit dependence on sample size, bandwidth, and local geometric and distributional parameters, characterizing precisely how regularity conditions govern statistical performance. We also propose a bandwidth selection heuristic using derivative information, which shows promise in numerical experiments.

Bayesian optimization has shown success in global optimization of expensive-to-evaluate multimodal objective functions. However, unlike most optimization methods, Bayesian optimization typically does not use derivative information. In this paper we show how Bayesian optimization can exploit derivative information to find good solutions with fewer objective function evaluations. In particular, we develop a novel Bayesian optimization algorithm, the derivative-enabled knowledge-gradient (dKG), which is one-step Bayes-optimal, asymptotically consistent, and provides greater one-step value of information than in the derivative-free setting.

Bayesian optimization has been successful at global optimization of expensive-to-evaluate multimodal objective functions.

Gaussian processes (GPs) with derivatives are useful in many applications, including Bayesian optimization, implicit surface reconstruction, and terrain reconstruction.

In this paper, we introduce methods to achieve fully scalable Gaussian process regression with derivatives using variational inference.

We present a scalable Gaussian Process (GP) method that can fit and predict full derivative observations called DSoftKI. It extends SoftKI, a method that approximates a kernel via softmax interpolation from learned interpolation point locations, to the setting with derivatives. DSoftKI enhances SoftKI's interpolation scheme to incorporate the directional orientation of interpolation points relative to the data. This enables the construction of a scalable approximate kernel, including its first and second-order derivatives, through interpolation. We evaluate DSoftKI on a synthetic function benchmark and high-dimensional molecular force field prediction (100-1000 dimensions), demonstrating that DSoftKI is accurate and can scale to larger datasets with full derivative observations than previously possible.

Gaussian processes with derivative information are useful in many settings where derivative information is available, including numerous Bayesian optimization and regression tasks that arise in the natural sciences. Incorporating derivative observations, however, comes with a dominating O(N 3D 3) computational cost when training on N points in D input dimensions. This is intractable for even moderately sized problems. While recent work has addressed this intractability in the low- D setting, the high- N, high- D setting is still unexplored and of great value, particularly as machine learning problems increasingly become high dimensional. In this paper, we introduce methods to achieve fully scalable Gaussian process regression with derivatives using variational inference.