Physics-Informed Neural Networks with Unknown Partial Differential Equations: an Application in Multivariate Time Series

A significant advancement in Neural Network (NN) research is the integration of domain-specific knowledge through custom loss functions. This approach addresses a crucial challenge: how can models utilize physics or mathematical principles to enhance predictions when dealing with sparse, noisy, or incomplete data? Physics-Informed Neural Networks (PINNs) put this idea into practice by incorporating physical equations, such as Partial Differential Equations (PDEs), as soft constraints. This guidance helps the networks find solutions that align with established laws. Recently, researchers have expanded this framework to include Bayesian NNs (BNNs), which allow for uncertainty quantification while still adhering to physical principles. But what happens when the governing equations of a system are not known? In this work, we introduce methods to automatically extract PDEs from historical data. We then integrate these learned equations into three different modeling approaches: PINNs, Bayesian-PINNs (B-PINNs), and Bayesian Linear Regression (BLR). To assess these frameworks, we evaluate them on a real-world Multivariate Time Series (MTS) dataset. We compare their effectiveness in forecasting future states under different scenarios: with and without PDE constraints and accuracy considerations. This research aims to bridge the gap between data-driven discovery and physics-guided learning, providing valuable insights for practical applications.