Uncertainty Quantification for Stochastic Nonlinear Systems using Perron-Frobenius Operator and Karhunen-Lo'eve Expansion

International audience; In this paper, a methodology for propagation of uncertainty in stochastic nonlinear dynamical systems is investigated. The process noise is approximated using Karhunen-Lo'eve (KL) expansion. Perron-Frobenius (PF) operator is used to predict the evolution of uncertainty. A multivariate Kolmogorov-Smirnov test is used to verify the proposed framework. The method is applied to predict uncertainty evolution in a Duffing oscillator and a Vanderpol's oscillator. It is observed that the solution of the approximated stochastic dynamics converges to the true solution in distribution. Finally, the proposed methodology is combined with Bayesian inference to estimate states of a nonlinear dynamical system, and its performance is compared with particle filter. The proposed estimator was found to be computationally superior than the particle filter.