Augmented Invertible Koopman Autoencoder for long-term time series forecasting

• URL: http://arxiv.org/abs/2503.12930v1
• Date: Mon, 17 Mar 2025 08:40:50 GMT
• Title: Augmented Invertible Koopman Autoencoder for long-term time series forecasting
• Authors: Anthony Frion, Lucas Drumetz, Mauro Dalla Mura, Guillaume Tochon, Abdeldjalil Aïssa-El-Bey,
• Abstract summary: We present the Augmented Invertible Koopman AutoEncoder (AIKAE) as a new class of neural autoencoder-based implementations of the Koopman operator.<n>We demonstrate the relevance of the AIKAE through a series of long-term time series forecasting experiments, on satellite image time series as well as on a benchmark involving predictions based on a large lookback window of observations.
• Score: 7.875955593012905
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Following the introduction of Dynamic Mode Decomposition and its numerous extensions, many neural autoencoder-based implementations of the Koopman operator have recently been proposed. This class of methods appears to be of interest for modeling dynamical systems, either through direct long-term prediction of the evolution of the state or as a powerful embedding for downstream methods. In particular, a recent line of work has developed invertible Koopman autoencoders (IKAEs), which provide an exact reconstruction of the input state thanks to their analytically invertible encoder, based on coupling layer normalizing flow models. We identify that the conservation of the dimension imposed by the normalizing flows is a limitation for the IKAE models, and thus we propose to augment the latent state with a second, non-invertible encoder network. This results in our new model: the Augmented Invertible Koopman AutoEncoder (AIKAE). We demonstrate the relevance of the AIKAE through a series of long-term time series forecasting experiments, on satellite image time series as well as on a benchmark involving predictions based on a large lookback window of observations.

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