A composite neural network that learns from multi-fidelity data: Application to function approximation and inverse PDE problems

•The present method can learn both linear and nonlinear correlations between the low- and high-fidelity data adaptively.•The present method can infer the quantities of interest based on a few scattered data.•The present method can identify the unknown parameters in the PDEs.•The present method can be applied to very high-dimensional function approximations as well as inverse PDE problems. Currently the training of neural networks relies on data of comparable accuracy but in real applications only a very small set of high-fidelity data is available while inexpensive lower fidelity data may be plentiful. We propose a new composite neural network (NN) that can be trained based on multi-fidelity data. It is comprised of three NNs, with the first NN trained using the low-fidelity data and coupled to two high-fidelity NNs, one with activation functions and another one without, in order to discover and exploit nonlinear and linear correlations, respectively, between the low-fidelity and the high-fidelity data. We first demonstrate the accuracy of the new multi-fidelity NN for approximating some standard benchmark functions but also a 20-dimensional function that is not easy to approximate with other methods, e.g. Gaussian process regression. Subsequently, we extend the recently developed physics-informed neural networks (PINNs) to be trained with multi-fidelity data sets (MPINNs). MPINNs contain four fully-connected neural networks, where the first one approximates the low-fidelity data, while the second and third construct the correlation between the low- and high-fidelity data and produce the multi-fidelity approximation, which is then used in the last NN that encodes the partial differential equations (PDEs). Specifically, by decomposing the correlation into a linear and nonlinear part, the present model is capable of learning both the linear and complex nonlinear correlations between the low- and high-fidelity data adaptively. By training the MPINNs, we can: (1) obtain the correlation between the low- and high-fidelity data, (2) infer the quantities of interest based on a few scattered data, and (3) identify the unknown parameters in the PDEs. In particular, we employ the MPINNs to learn the hydraulic conductivity field for unsaturated flows as well as the reactive models for reactive transport. The results demonstrate that MPINNs can achieve relatively high accuracy based on a very small set of high-fidelity data. Despite the relatively low dimension and lim