Related papers: A Koopman framework for rare event simulation in s…

Dynamic Mode Decomposition (DMD) and its variants, such as extended DMD (EDMD), are broadly used to fit simple linear models to dynamical systems known from observable data. As DMD methods work well in several situations but perform poorly…

Inference, prediction and control of complex dynamical systems from time series is important in many areas, including financial markets, power grid management, climate and weather modeling, or molecular dynamics. The analysis of such highly…

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…

In Part I (arXiv:1911.00619) of this article, we proposed an importance sampling algorithm to compute rare-event probabilities in forward uncertainty quantification problems. The algorithm, which we termed the "Bayesian Inverse Monte Carlo…

We propose an alternating optimization algorithm to the nonconvex Koopman operator learning problem for nonlinear dynamic systems. We show that the proposed algorithm will converge to a critical point with rate $O(1/T)$ and $O(\frac{1}{\log…

In this paper, a data-driven nonparametric approach is presented for forecasting the probability density evolution of stochastic dynamical systems. The method is based on stochastic Koopman operator and extended dynamic mode decomposition…

An outstanding challenge in nonlinear systems theory is identification or learning of a given nonlinear system's Koopman operator directly from data or models. Advances in extended dynamic mode decomposition approaches and machine learning…

Machine learning algorithms designed to learn dynamical systems from data can be used to forecast, control and interpret the observed dynamics. In this work we exemplify the use of one of such algorithms, namely Koopman operator learning,…

Gas turbine engines are complex and highly nonlinear dynamical systems. Deriving their physics-based models can be challenging because it requires performance characteristics that are not always available, often leading to many simplifying…

We develop and analyze an SIRSD epidemic model, which extends the classical SIR framework by incorporating waning immunity and disease-induced mortality. A rigorous well-posedness analysis ensures the existence, uniqueness, positivity, and…

We consider stochastic differential equations, obtained by adding weak Gaussian white noise to ordinary differential equations admitting $N$ asymptotically stable periodic orbits. We construct a discrete-time, continuous-space Markov chain,…

Representation of a dynamical system in terms of simplifying modes is a central premise of reduced order modelling and a primary concern of the increasingly popular DMD (dynamic mode decomposition) empirical interpretation of Koopman…

We present a novel sampling-based method for estimating probabilities of rare or failure events. Our approach is founded on the Ensemble Kalman filter (EnKF) for inverse problems. Therefore, we reformulate the rare event problem as an…

This manuscript is aimed at addressing several long standing limitations of dynamic mode decompositions in the application of Koopman analysis. Principle among these limitations are the convergence of associated Dynamic Mode Decomposition…

Partially observable Markov decision processes (POMDPs) provide an elegant mathematical framework for modeling complex decision and planning problems in stochastic domains in which states of the system are observable only indirectly, via a…

Stochastic reaction networks (SRNs) are a general class of continuous-time Markov jump processes used to model a wide range of systems, including biochemical dynamics in single cells, ecological and epidemiological populations, and queueing…

Finding an embedding space for a linear approximation of a nonlinear dynamical system enables efficient system identification and control synthesis. The Koopman operator theory lays the foundation for identifying the nonlinear-to-linear…

Recent deep learning extensions in Koopman theory have enabled compact, interpretable representations of nonlinear dynamical systems which are amenable to linear analysis. Deep Koopman networks attempt to learn the Koopman eigenfunctions…

We propose a deep importance sampling method that is suitable for estimating rare event probabilities in high-dimensional problems. We approximate the optimal importance distribution in a general importance sampling problem as the…

The theory of Koopman operators allows to deploy non-parametric machine learning algorithms to predict and analyze complex dynamical systems. Estimators such as principal component regression (PCR) or reduced rank regression (RRR) in kernel…