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Let's say I need to learn 2 functions $f(x)$ and $g(z)$ (the input variables in vectors $x$ and $z$ may overlap, but in my specific case, they don't). However, I can only observe their sum, so the data is of the form $(x_k, z_k) \mapsto y_k = f(x_k) + g(z_k)$. I may use regression like $\tilde{f}(x; \theta_f)$ and $\tilde{g}(z; \theta_g)$, where $\theta_f$ and $\theta_g$ are parameters of models $\tilde{f}$ and $\tilde{g}$ of $f$ and $g$, for example they can be polynomials, NNs, etc. Given the data $\mathcal{D} = ((x_k,z_k), y_k)$ I can learn $\theta_f$ and $\theta_g$ in the usual way. With a new input $(x^\star, z^\star)$ I can predict the terms of the sum separately: $f(x^\star) \approx \tilde{f}(x^\star; \theta_f)$, similarly for $g$. First question: do you see any flaw in this method?

Now I want to use Gaussian Processes (GPs). I model $f$ as a GP $\mathcal{G}_f(0, k_f(\cdot, \cdot))$ with zero mean and kernel $k_f$, $g$ as a GP $\mathcal{G}_g(0, k_g(\cdot, \cdot))$ with zero mean and kernel $k_g$. As I understand, their sum is also a GP with zero mean and the sum of the kernels: $\mathcal{G}(0, k_f + k_g)$. I then learn the hyperparameters of $k_f$ and $k_g$ from the data as usual. With a new input $(x^\star, z^\star)$ I can predict the sum with the sum GP $\mathcal{G}$. The questions: Can I predict the individual terms $f$ and $g$? If yes, how? If I want to predict the mean of $f(x^\star)$ I would need the training observations of $f(x_k)$, something like: $\bar{f}(x^\star) = k_f(x^\star, X) K_f^{-1}(X,X) Y_f$ where everything can be calculated except $Y_f$ (it's the values of the $f$ term in $y_k$).

Thanks a lot!

Edit (to address a comment about the feasibility of this problem): while in general $f$ and $g$ are not identifiable from their sum, under certain conditions, this is possible. A simple example is if $f(x) = a x$ and $g(z) = b z$, then given a data set of $((x_k, z_k), f(x_k) + g(z_k))$, identifying $a$ and $b$, hence $f$ and $g$, is possible.

In my application, I consider discrete-time dynamic systems: $x(k+1) = f(x(k)) + g(z(k))$, where samples of $((x(k), z(k)), x(k+1))$ are given. Note that $x$ and $z$ are "independent" so $f(x)$ and $g(z)$ are "independent." If $f$ and $g$ are linear, it's well-known in system identification / control theory that, under certain conditions, $f$ and $g$ can be identified from data. For example, methods like DMDc can do this. For non-linear $f$ and $g$, methods like SINDYc can be used to learn these functions (under certain conditions).

My core question is that whether this is possible with GPs. The reason I want to separate the summands $f$ and $g$ is due to domain insights and that $f$ and $g$ will then have physical meanings.

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  • $\begingroup$ 1) The summands $f$ and $g$ are not identifiable just from observing their sum. This is even true for simple numbers: $3=2+1=1+2=0+3....$. You will always run into this problem no matter what method you use to estimate $f$ and $g$. 2) In your GP approach, by setting the kernel as $k_f + k_g$ you assume the processes $f$ and $g$ to be uncorrelated, i.e. independent. This may or may not be true for your specific application. $\endgroup$
    – g g
    Apr 8, 2021 at 20:41
  • $\begingroup$ @gg I edited my original post to provide more information and address your comment. $\endgroup$
    – Truong
    Apr 8, 2021 at 21:44

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I ran some tests and it looks like (regular) GPs are not able to achieve this. As one of the comments above mentioned, GPs may learn $\tilde{f}(x) = f(x) + c$ and $\tilde{g}(z) = g(z) - c$ for any arbitrary constant $c$, so while the sum $f(x) + g(z) = \tilde{f}(x) + \tilde{g}(z)$ can be learned by a GP, the individual summands can't. Parametric methods, such as those mentioned in the original question (linear system identification methods from control theory, DMDc, SINDYc, etc.), are able to do this because they can directly impose certain structures / constraints on $f$ and $g$ to prevent this issue.

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