Data-driven probability density forecast for stochastic dynamical systems

Abstract: In this paper, a data-driven nonparametric approach is presented for forecasting the probability density evolution of stochastic dynamical systems. The method is based on stochastic Koopman operator and extended dynamic mode decomposition (EDMD). To approximate the finite-dimensional eigendecomposition of the stochastic Koopman operator, EDMD is applied to the training data set sampled from the stationary distribution of the underlying stochastic dynamical system. The family of the Koopman operators form a semigroup, which is generated by the infinitesimal generator of the stochastic dynamical system. A significant connection between the generator and Fokker-Planck operator provides a way to construct an orthonormal basis of a weighted Hilbert space. A spectral decomposition of the probability density function is accomplished in this weighted space. This approach is a data-driven method and used to predict the probability density evolution and real-time moment estimation. In the limit of the large number of snapshots and observables, the data-driven probability density approximation converges to the Galerkin projection of the semigroup solution of Fokker-Planck equation on a basis adapted to an invariant measure. The proposed method shares the similar idea to diffusion forecast, but renders more accurate probability density than the diffusion forecast does. A few numerical examples are presented to illustrate the performance of the data-driven probability density forecast.