Key to the application of such models in safety-critical domains is the quantification of their model error. Gaussian processes provide such a measure anduniform error bounds havebeen derived,which allowsafe control based on thesemodels.

By now Bayesian methods are routinely used in practice for solving inverse problems.

Neural Information Processing Systems http://nips.cc/

We propose two novel tricks to tackle this challenge.

Applying Physics-Informed Gaussian Process Regression to the eigenvalue problem $(\mathcal{L}-λ)u = 0$ poses a fundamental challenge, where the null source term results in a trivial predictive mean and a degenerate marginal likelihood. Drawing inspiration from system identification, we construct a transfer function-type indicator for the unknown eigenvalue/eigenfunction using the physics-informed Gaussian Process posterior. We demonstrate that the posterior covariance is only non-trivial when $λ$ corresponds to an eigenvalue of the partial differential operator $\mathcal{L}$, reflecting the existence of a non-trivial eigenspace, and any sample from the posterior lies in the eigenspace of the linear operator. We demonstrate the effectiveness of the proposed approach through several numerical examples with both linear and non-linear eigenvalue problems.