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.
We propose a novel denoising diffusion generative model for predicting nonlinear fluid fields named FluidDiff. By performing a diffusion process, the model is able to learn a complex representation of the high-dimensional dynamic system, and then Langevin sampling is used to generate predictions for the flow state under specified initial conditions. The model is trained with finite, discrete fluid simulation data. We demonstrate that our model has the capacity to model the distribution of simulated training data and that it gives accurate predictions on the test data. Without encoded prior knowledge of the underlying physical system, it shares competitive performance with other deep learning models for fluid prediction, which is promising for investigation on new computational fluid dynamics methods.