Learning calibrated probabilistic forecasts using Koopman mode decomposition and the continuous ranked probability score

Benjamin M. Kent, Richard E. Turner

Well-calibrated forecasting for non-linear dynamical systems is essential in science and engineering applications such as fluid dynamics and weather prediction. We present a forecasting method combining probabilistic machine learning with the structured linear dynamics of Koopman mode decomposition. Within this framework, the observation, linear dynamics, and state reconstruction operators are constructed using standard machine learning architectures, producing predictive distributions via the pushforward of injected noise samples. The model is trained using a proper scoring rule, the continuous ranked probability score, to directly target calibrated, accurate forecasts. The approach is validated on two non-linear ordinary differential equation examples and two partial differential equation examples, vortex shedding and cavity flow, using both large and small, noisy datasets. Results demonstrate that known Koopman eigenfunctions and spectra can be identified and used for accurate forecasting. The model can also produce multi-modal predictive distributions, demonstrated for a trajectory initialised on the boundary between two basins of attraction. Uncertainty is captured by the…