Data-Driven Approach for Uncertainty Propagation and Reachability Analysis in Dynamical Systems

Abstract: In this paper, we propose a data-driven approach for uncertainty propagation and reachability analysis in a dynamical system. The proposed approach relies on the linear lifting of a nonlinear system using linear Perron-Frobenius (P-F) and Koopman operators. The uncertainty can be characterized in terms of the moments of a probability density function. We demonstrate how the P-F and Koopman operators are used for propagating the moments. Time-series data is used for the finite-dimensional approximation of the linear operators, thereby enabling data-driven approach for moment propagation. Simulation results are presented to demonstrate the effectiveness of the proposed method.