# Variational Augmented Invertible Koopman Autoencoder for probabilistic time series forecasting

arXiv: https://arxiv.org/abs/2609.37435 · HTML: https://mlsanity.com/paper/2609.37435/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 52 of its 90 references that are in the map.
- First posted on arXiv 29 Sep 2026.

## Builds on (most cited first, 30 of 52)

- [Denoising Diffusion Probabilistic Models](https://mlsanity.com/paper/2006.11239/) (2020)
- [mixup: Beyond Empirical Risk Minimization](https://mlsanity.com/paper/1710.09412/) (2017)
- [Dropout as a Bayesian Approximation: Representing Model Uncertainty in Deep Learning](https://mlsanity.com/paper/1506.02142/) (2015)
- [Simple and Scalable Predictive Uncertainty Estimation using Deep Ensembles](https://mlsanity.com/paper/1612.01474/) (2016)
- [Fourier Neural Operator for Parametric Partial Differential Equations](https://mlsanity.com/paper/2010.08895/) (2020)
- [What Uncertainties Do We Need in Bayesian Deep Learning for Computer Vision?](https://mlsanity.com/paper/1703.04977/) (2017)
- [Density estimation using Real NVP](https://mlsanity.com/paper/1605.08803/) (2016)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting](https://mlsanity.com/paper/2106.13008/) (2021)
- [Are Transformers Effective for Time Series Forecasting?](https://mlsanity.com/paper/2205.13504/) (2022)
- [FEDformer: Frequency Enhanced Decomposed Transformer for Long-term Series Forecasting](https://mlsanity.com/paper/2201.12740/) (2022)
- [Averaging Weights Leads to Wider Optima and Better Generalization](https://mlsanity.com/paper/1803.05407/) (2018)
- [Diffusion Models: A Comprehensive Survey of Methods and Applications](https://mlsanity.com/paper/2209.00796/) (2022)
- [NICE: Non-linear Independent Components Estimation](https://mlsanity.com/paper/1410.8516/) (2014)
- [Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks](https://mlsanity.com/paper/1703.07015/) (2017)
- [CSDI: Conditional Score-based Diffusion Models for Probabilistic Time Series Imputation](https://mlsanity.com/paper/2107.03502/) (2021)
- [Deep learning for universal linear embeddings of nonlinear dynamics](https://mlsanity.com/paper/1712.09707/) (2017)
- [Machine learning accelerated computational fluid dynamics](https://mlsanity.com/paper/2102.01010/) (2021)
- [Conditional Neural Processes](https://mlsanity.com/paper/1807.01613/) (2018)
- [Non-stationary Transformers: Exploring the Stationarity in Time Series Forecasting](https://mlsanity.com/paper/2205.14415/) (2022)
- [Hands-on Bayesian Neural Networks -- a Tutorial for Deep Learning Users](https://mlsanity.com/paper/2007.06823/) (2020)
- [Autoregressive Denoising Diffusion Models for Multivariate Probabilistic Time Series Forecasting](https://mlsanity.com/paper/2101.12072/) (2021)
- [Modern Koopman Theory for Dynamical Systems](https://mlsanity.com/paper/2102.12086/) (2021)
- [Linearly-Recurrent Autoencoder Networks for Learning Dynamics](https://mlsanity.com/paper/1712.01378/) (2017)
- [On the Pitfalls of Heteroscedastic Uncertainty Estimation with Probabilistic Neural Networks](https://mlsanity.com/paper/2203.09168/) (2022)
- [Forecasting Sequential Data using Consistent Koopman Autoencoders](https://mlsanity.com/paper/2003.02236/) (2020)
- [Non-autoregressive Conditional Diffusion Models for Time Series Prediction](https://mlsanity.com/paper/2306.05043/) (2023)
- [Machine learning with data assimilation and uncertainty quantification for dynamical systems: a review](https://mlsanity.com/paper/2303.10462/) (2023)
- [On Convergence of Extended Dynamic Mode Decomposition to the Koopman Operator](https://mlsanity.com/paper/1703.04680/) (2017)
- [Learning Compositional Koopman Operators for Model-Based Control](https://mlsanity.com/paper/1910.08264/) (2019)

## Abstract (arXiv)

Neural Koopman autoencoder models have been shown to successfully build a latent embedding with linear dynamics for arbitrary dynamical systems, enabling strong performance in long-term time series forecasting. However, these models usually work in a deterministic setting, which does not allow the quantification of the uncertainty of their predictions. Thus, we propose the new Variational Augmented Invertible Koopman AutoEncoder (VAIKAE), in which the latent embedding follows a Gaussian distribution instead of being deterministic. A key property of the VAIKAE architecture is that it leverages normalizing flow models, enabling the use of likelihood computations in the state space of dynamical systems for training a model. We further propose new strategies for uncertainty-aware latent data assimilation with a trained VAIKAE model. The effectiveness of our methods is demonstrated in a series of experiments on long-term time series forecasting benchmarks.