On robust computation of Koopman operator and prediction in random dynamical systems
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Publication:2022706
dynamical systemsKoopman operatoroperator theoretic methodsdata driven analysisrobust Koopman operator
Dynamical systems in optimization and economics (37N40) Functional analytic techniques in dynamical systems; zeta functions, (Ruelle-Frobenius) transfer operators, etc. (37C30) Dynamical systems in control (37N35) Approximation methods and numerical treatment of dynamical systems (37M99) Dynamical systems methods for problems in mechanics (70G60)
Abstract: In the paper, we consider the problem of robust approximation of transfer Koopman and Perron-Frobenius (P-F) operators from noisy time series data. In most applications, the time-series data obtained from simulation or experiment is corrupted with either measurement or process noise or both. The existing results show the applicability of algorithms developed for the finite dimensional approximation of deterministic system to a random uncertain case. However, these results hold true only in asymptotic and under the assumption of infinite data set. In practice the data set is finite, and hence it is important to develop algorithms that explicitly account for the presence of uncertainty in data-set. We propose a robust optimization-based framework for the robust approximation of the transfer operators, where the uncertainty in data-set is treated as deterministic norm bounded uncertainty. The robust optimization leads to a min-max type optimization problem for the approximation of transfer operators. This robust optimization problem is shown to be equivalent to regularized least square problem. This equivalence between robust optimization problem and regularized least square problem allows us to comment on various interesting properties of the obtained solution using robust optimization. In particular, the robust optimization formulation captures inherent tradeoffs between the quality of approximation and complexity of approximation. These tradeoffs are necessary to balance for the proposed application of transfer operators, for the design of optimal predictor. Simulation results demonstrate that our proposed robust approximation algorithm performs better than the Extended Dynamic Mode Decomposition (EDMD) and DMD algorithms for a system with process and measurement noise.
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Cited in
(7)- Modern Koopman theory for dynamical systems
- Bi-additive \(\sigma \)-random operator inequalities and random quasi-\(*\)-multipliers on MB-algebras
- Data-driven probability density forecast for stochastic dynamical systems
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