Koopman Ensembles for Probabilistic Time Series Forecasting

• URL: http://arxiv.org/abs/2403.06757v2
• Date: Wed, 13 Mar 2024 13:57:42 GMT
• Title: Koopman Ensembles for Probabilistic Time Series Forecasting
• Authors: Anthony Frion, Lucas Drumetz, Guillaume Tochon, Mauro Dalla Mura, Albdeldjalil A\"issa El Bey
• Abstract summary: We show 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 of the ensembles.
• Score: 6.699751896019971
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: 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.

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