# On Robust Computation of Koopman Operator and Prediction in Random Dynamical Systems

arXiv: https://arxiv.org/abs/1803.08562 · HTML: https://mlsanity.com/paper/1803.08562/

## Key facts

- Cited by 8 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 22 Mar 2018.

## Built on by (most cited first, 8 of 8)

- [Modern Koopman Theory for Dynamical Systems](https://mlsanity.com/paper/2102.12086/) (2021)
- [Beyond expectations: Residual Dynamic Mode Decomposition and Variance for Stochastic Dynamical Systems](https://mlsanity.com/paper/2308.10697/) (2023)
- [Online Real-time Learning of Dynamical Systems from Noisy Streaming Data: A Koopman Operator Approach](https://mlsanity.com/paper/2212.05259/) (2022)
- [Neuro-Reachability of Networked Microgrids](https://mlsanity.com/paper/2101.05159/) (2021)
- [A Neural Network Ensemble Approach to System Identification](https://mlsanity.com/paper/2110.08382/) (2021)
- [Causal Analysis and Prediction of Human Mobility in the U.S. during the COVID-19 Pandemic](https://mlsanity.com/paper/2111.12272/) (2021)
- [Data-driven Influence Based Clustering of Dynamical Systems](https://mlsanity.com/paper/2204.02373/) (2022)
- [Koopman operator theory: fundamentals, control, and applications](https://mlsanity.com/paper/2607.01819/) (2026)

## Abstract (arXiv)

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.