Consistent Dynamic Mode Decomposition
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Abstract: We propose a new method for computing Dynamic Mode Decomposition (DMD) evolution matrices, which we use to analyze dynamical systems. Unlike the majority of existing methods, our approach is based on a variational formulation consisting of data alignment penalty terms and constitutive orthogonality constraints. Our method does not make any assumptions on the structure of the data or their size, and thus it is applicable to a wide range of problems including non-linear scenarios or extremely small observation sets. In addition, our technique is robust to noise that is independent of the dynamics and it does not require input data to be sequential. Our key idea is to introduce a regularization term for the forward and backward dynamics. The obtained minimization problem is solved efficiently using the Alternating Method of Multipliers (ADMM) which requires two Sylvester equation solves per iteration. Our numerical scheme converges empirically and is similar to a provably convergent ADMM scheme. We compare our approach to various state-of-the-art methods on several benchmark dynamical systems.
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Cites work
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- scientific article; zbMATH DE number 6678650 (Why is no real title available?)
- scientific article; zbMATH DE number 3574917 (Why is no real title available?)
- On dynamic mode decomposition: theory and applications
- Optimal mode decomposition for unsteady flows
- Robust principal component analysis?
- Spectral analysis of nonlinear flows
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- The Split Bregman Method for L1-Regularized Problems
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Cited in
(22)- Statistical modeling and an adaptive averaging technique for strong convergence of the dynamic mode decomposition
- Strong consistency of the projected total least squares dynamic mode decomposition for datasets with random noise
- Evaluating the accuracy of the dynamic mode decomposition
- An incremental approach to online dynamic mode decomposition for time-varying systems with applications to EEG data modeling
- Dynamic mode decomposition for analytic maps
- A parallel and streaming dynamic mode decomposition algorithm with finite precision error analysis for large data
- 2D and 3D image reconstruction from slice data based on a constrained bilateral smoothing and dynamic mode decomposition
- Variable projection methods for an optimized dynamic mode decomposition
- Sparsity-promoting algorithms for the discovery of informative Koopman-invariant subspaces
- Robust and scalable methods for the dynamic mode decomposition
- Modern Koopman theory for dynamical systems
- Strong convergence for the dynamic mode decomposition based on the total least squares to noisy datasets
- Randomized Dynamic Mode Decomposition
- Modes of homogeneous gradient flows
- Singular Dynamic Mode Decomposition
- The spatiotemporal coupling in delay-coordinates dynamic mode decomposition
- Machine learning methods for reduced order modeling
- Unified matrix analysis for strong consistency of estimators based on the singular value decomposition with orthogonal projections for noisy datasets
- GD-VAEs: geometric dynamic variational autoencoders for learning nonlinear dynamics and dimension reductions
- Functional dimensionality of Koopman eigenfunction space
- Data-driven optimal prediction with control
- Total-variation mode decomposition
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