Koopman Ensembles for Probabilistic Time Series Forecasting
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arXiv
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| Auteurs principaux: | , , , , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866911795689553920 |
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| author | Frion, Anthony Drumetz, Lucas Tochon, Guillaume Mura, Mauro Dalla Bey, Albdeldjalil Aïssa El |
| author_facet | Frion, Anthony Drumetz, Lucas Tochon, Guillaume Mura, Mauro Dalla Bey, Albdeldjalil Aïssa El |
| contents | In the context of an increasing popularity of data-driven models to represent dynamical systems, many machine learning-based implementations of the Koopman operator have recently been proposed. However, the vast majority of those works are limited to deterministic predictions, while the knowledge of uncertainty is critical in fields like meteorology and climatology. In this work, we investigate the training of ensembles of models to produce stochastic outputs. We show through experiments on real remote sensing image time series that ensembles of independently trained models are highly overconfident and that using a training criterion that explicitly encourages the members to produce predictions with high inter-model variances greatly improves the uncertainty quantification of the ensembles. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_06757 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Koopman Ensembles for Probabilistic Time Series Forecasting Frion, Anthony Drumetz, Lucas Tochon, Guillaume Mura, Mauro Dalla Bey, Albdeldjalil Aïssa El Machine Learning In the context of an increasing popularity of data-driven models to represent dynamical systems, many machine learning-based implementations of the Koopman operator have recently been proposed. However, the vast majority of those works are limited to deterministic predictions, while the knowledge of uncertainty is critical in fields like meteorology and climatology. In this work, we investigate the training of ensembles of models to produce stochastic outputs. We show through experiments on real remote sensing image time series that ensembles of independently trained models are highly overconfident and that using a training criterion that explicitly encourages the members to produce predictions with high inter-model variances greatly improves the uncertainty quantification of the ensembles. |
| title | Koopman Ensembles for Probabilistic Time Series Forecasting |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2403.06757 |