Bagging, optimized dynamic mode decomposition for robust, stable forecasting with spatial and temporal uncertainty quantification

Dynamic mode decomposition (DMD) provides a regression framework for adaptively learning a best-fit linear dynamics model over snapshots of temporal, or spatio-temporal, data. A variety of regression techniques have been developed for producing the linear model approximation whose solutions are exponentials in time. For spatio-temporal data, DMD provides low-rank and interpretable models in the form of dominant modal structures along with their exponential/oscillatory behaviour in time. The majority of DMD algorithms, however, are prone to bias errors from noisy measurements of the dynamics, leading to poor model fits and unstable forecasting capabilities. The optimized DMD algorithm minimizes the model bias with a variable projection optimization, thus leading to stabilized forecasting capabilities. Here, the optimized DMD algorithm is improved by using statistical bagging methods whereby a single set of snapshots is used to produce an ensemble of optimized DMD models. The outputs of these models are averaged to produce a bagging, optimized dynamic mode decomposition (BOP-DMD). BOP-DMD improves performance by stabilizing and cross-validating the DMD model by ensembling; it also robustifies the model and provides both spatial and temporal uncertainty quantification (UQ). Thus, unlike currently available DMD algorithms, BOP-DMD provides a stable and robust model for probabilistic, or Bayesian, forecasting with comprehensive UQ metrics.This article is part of the theme issue 'Data-driven prediction in dynamical systems'.