arXiv Machine Learning By Boyuan Deng, Kshitiz Upadhyay, Michael Shields

Constrained Probabilistic Numerics: Gaussian Process Solvers for Linear PDEs under Linear Inequality Constraints

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The paper introduces a method to incorporate linear inequality constraints—such as nonnegativity, monotonicity, and no‑arbitrage—into Gaussian process solvers for linear partial differential equations. By proving that conditioning a Gaussian process jointly on equality observations and a finite‑dimensional inequality event is equivalent to sequential conditioning, the authors obtain a non‑Gaussian but computable posterior that respects both PDE physics and inequality constraints. Experiments on Poisson problems, option‑price surfaces, and air‑quality data show substantial error reductions and improved adherence to constraints when the new method is applied.

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