Conditioning non-linear and infinite-dimensional diffusion processes

Elizabeth Louise Baker, Gefan Yang, Michael Lind Severinsen, Christy Anna Hipsley, Stefan Sommer

Keywords: Doob's h-transform, bridges, infinite dimensions, conditioning, non-linear stochastic differential equations

Abstract: Generative diffusion models and many stochastic models in science and engineering naturally live in infinite dimensions before discretisation. To incorporate observed data for statistical and learning tasks, one needs to condition on observations. While recent work has treated conditioning linear processes in infinite dimensions, conditioning non-linear processes in infinite dimensions has not been explored. This paper conditions function valued stochastic processes without prior discretisation. To do so, we use an infinite-dimensional version of Girsanov's theorem to condition a function-valued stochastic process, leading to a stochastic differential equation (SDE) for the conditioned process involving the score. We apply this technique to do time series analysis for shapes of organisms in evolutionary biology, where we discretise via the Fourier basis and then learn the coefficients of the score function with score matching methods.

Primary Area: Diffusion based models

Submission Number: 15272