Probabilistic forecast of nonlinear dynamical systems with uncertainty quantification

05/15/2023
by   Mengyang Gu, et al.
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Data-driven modeling is useful for reconstructing nonlinear dynamical systems when the true data generating mechanism is unknown or too expensive to compute. Having reliable uncertainty assessment of the forecast enables tools to be deployed to predict new scenarios that haven't been observed before. In this work, we derive internal uncertainty assessments from a few models for probabilistic forecasts. First, we extend the parallel partial Gaussian processes for predicting the one-step-ahead vector-valued transition function that links the observations between the current and next time points, and quantify the uncertainty of predictions by posterior sampling. Second, we show the equivalence between the dynamic mode decomposition and maximum likelihood estimator of a linear mapping matrix in a linear state space model. This connection provides data generating models of dynamic mode decomposition and thus, the uncertainty of the predictions can be obtained. Third, we draw close connections between data-driven models of nonlinear dynamical systems, such as proper orthogonal decomposition, dynamic mode decomposition and parallel partial Gaussian processes, through a unified view of data generating models. We study two numerical examples, where the inputs of the dynamics are assumed to be known in the first example and the inputs are unknown in the second example. The examples indicate that uncertainty of forecast can be properly quantified, whereas model or input misspecification can degrade the accuracy of uncertainty quantification.

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