Koopman operators provide tractable means of learning linear approximations of non-linear dynamics. Many approaches have been proposed to find these operators, typically based upon approximations using an a-priori fixed class of models. However, choosing appropriate models and bounding the approximation error is far from trivial. Motivated by these difficulties, in this paper we propose an optimization based approach to learning Koopman operators from data. Our results show that the Koopman operator, the associated Hilbert space of observables and a suitable dictionary can be obtained by solving two rank-constrained semi-definite programs (SDP). While in principle these problems are NP-hard, the usemore »
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This paper proposes a data-driven framework to address the worst-case estimation problem for switched discrete-time linear systems based solely on the measured data (input & output) and an ℓ ∞ bound over the noise. We start with the problem of designing a worst-case optimal estimator for a single system and show that this problem can be recast as a rank minimization problem and efficiently solved using standard relaxations of rank. Then we extend these results to the switched case. Our main result shows that, when the mode variable is known, the problem can be solved proceeding in a similar manner.more »
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This paper addresses the problem of identification of error in variables switched linear models from experimental input/output data. This problem is known to be generically NP hard and thus computationally expensive to solve. To address this difficulty, several relaxations have been proposed in the past few years. While solvable in polynomial time these (convex) relaxations tend to scale poorly with the number of points and number/order of the subsystems, effectively limiting their applicability to scenarios with relatively small number of data points. To address this difficulty, in this paper we propose an efficient method that only requires performing (number ofmore »
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Kernel dimensionality reduction (KDR) algorithms find a low dimensional representation of the original data by optimizing kernel dependency measures that are capable of capturing nonlinear relationships. The standard strategy is to first map the data into a high dimensional feature space using kernels prior to a projection onto a low dimensional space. While KDR methods can be easily solved by keeping the most dominant eigenvectors of the kernel matrix, its features are no longer easy to interpret. Alternatively, Interpretable KDR (IKDR) is different in that it projects onto a subspace \textit{before} the kernel feature mapping, therefore, the projection matrix canmore »
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In this paper we propose a data-driven fault detection framework for semi-supervised scenarios where labeled training data from the system under consideration (the “target”) is imbalanced (e.g. only relatively few labels are available from one of the classes), but data from a related system (the “source”) is readily available. An example of this situation is when a generic simulator is available, but needs to be tuned on a case-by-case basis to match the parameters of the actual system. The goal of this paper is to work with the statistical distribution of the data without necessitating system identification. Our main resultmore »
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We propose a generalization of the popular nonlinear ARX model structure by treating its parameters as varying over time. The parameters are considered generated by linear filters operating on the model’s regressors. The filters are expressed as a sum of atoms that are either sum of damped exponentials and sinusoids, or sinusoids with time varying frequencies. This form allows us to enforce stability of the parameter evolution as well as leverage the atomic norm minimization framework for inducing sparsity. It also facilitates easy incorporation of smoothness related priors that that making it possible to treat these models as nonlinear extensionsmore »
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