Finite-data error bounds for Koopman-based prediction and control

F. Nüske, S. Peitz, F. Philipp, M. Schaller, K. Worthmann, ArXiv:2108.07102 (2021).

Preprint | English
Author
; ; ; ;
Abstract
The Koopman operator has become an essential tool for data-driven approximation of dynamical (control) systems in recent years, e.g., via extended dynamic mode decomposition. Despite its popularity, convergence results and, in particular, error bounds are still quite scarce. In this paper, we derive probabilistic bounds for the approximation error and the prediction error depending on the number of training data points; for both ordinary and stochastic differential equations. Moreover, we extend our analysis to nonlinear control-affine systems using either ergodic trajectories or i.i.d. samples. Here, we exploit the linearity of the Koopman generator to obtain a bilinear system and, thus, circumvent the curse of dimensionality since we do not autonomize the system by augmenting the state by the control inputs. To the best of our knowledge, this is the first finite-data error analysis in the stochastic and/or control setting. Finally, we demonstrate the effectiveness of the proposed approach by comparing it with state-of-the-art techniques showing its superiority whenever state and control are coupled.
Publishing Year
Journal Title
arXiv:2108.07102
LibreCat-ID

Cite this

Nüske F, Peitz S, Philipp F, Schaller M, Worthmann K. Finite-data error bounds for Koopman-based prediction and control. arXiv:210807102. 2021.
Nüske, F., Peitz, S., Philipp, F., Schaller, M., & Worthmann, K. (2021). Finite-data error bounds for Koopman-based prediction and control. ArXiv:2108.07102.
@article{Nüske_Peitz_Philipp_Schaller_Worthmann_2021, title={Finite-data error bounds for Koopman-based prediction and control}, journal={arXiv:2108.07102}, author={Nüske, Feliks and Peitz, Sebastian and Philipp, Friedrich and Schaller, Manuel and Worthmann, Karl}, year={2021} }
Nüske, Feliks, Sebastian Peitz, Friedrich Philipp, Manuel Schaller, and Karl Worthmann. “Finite-Data Error Bounds for Koopman-Based Prediction and Control.” ArXiv:2108.07102, 2021.
F. Nüske, S. Peitz, F. Philipp, M. Schaller, and K. Worthmann, “Finite-data error bounds for Koopman-based prediction and control,” arXiv:2108.07102. 2021.
Nüske, Feliks, et al. “Finite-Data Error Bounds for Koopman-Based Prediction and Control.” ArXiv:2108.07102, 2021.

Link(s) to Main File(s)
Access Level
Restricted Closed Access

Export

Marked Publications

Open Data LibreCat

Search this title in

Google Scholar