Learning Koopman Models From Data Under General Noise Conditions

Abstract: This paper presents a novel identification approach of Koopman models of nonlinear systems with inputs under rather general noise conditions. The method uses deep state-space encoders based on the concept of state reconstructability and an efficient multiple-shooting formulation of the squared loss of the prediction error to estimate the dynamics and the lifted state from input-output data. Furthermore, the Koopman model structure includes an innovation noise term that is used to handle process and measurement noise. It is shown that the proposed approach is statistically consistent and computationally efficient due to the multiple-shooting formulation where, on subsections of the data, multi-step prediction errors can be calculated in parallel. The latter allows for efficient batch optimization of the network parameters and, at the same time, excellent long-term prediction capabilities of the obtained models. The performance of the approach is illustrated by nonlinear benchmark examples.