Koopman-Equivariant Gaussian Processes

We propose a family of Gaussian processes (GP) for dynamical systems with linear time-invariant responses, which are nonlinear only in initial conditions. This linearity allows us to tractably quantify forecasting andrepresentational uncertainty, simultaneously alleviating the challenge of computing the distribution of trajectories from a GP-based dynamical system and enabling a new probabilistic treatment of learning Koopman operator representations. Using a trajectory-based equivariance – which we refer to as Koopman equivariance – we obtain a GP model with enhanced generalization capabilities. To allow for large-scale regression, we equip our framework with variational inference based on suitable inducing points. Experiments demonstrate on-par and often better forecasting performance compared to kernel-based methods for learning dynamical systems.