Evaluating the accuracy of the dynamic mode decomposition

DOI10.3934/JCD.2020002zbMATH Open1448.37103arXiv1710.00745OpenAlexW2986214183MaRDI QIDQ2192452FDOQ2192452

Hao Zhang, Scott T. M. Dawson, Clarence W. Rowley, Eric A. Deem, Louis N. Cattafesta

Publication date: 17 August 2020

Published in: Journal of Computational Dynamics (Search for Journal in Brave)

Abstract: Dynamic mode decomposition (DMD) gives a practical means of extracting dynamic information from data, in the form of spatial modes and their associated frequencies and growth/decay rates. DMD can be considered as a numerical approximation to the Koopman operator, an infinite-dimensional linear operator defined for (nonlinear) dynamical systems. This work proposes a new criterion to estimate the accuracy of DMD on a mode-by-mode basis, by estimating how closely each individual DMD eigenfunction approximates the corresponding Koopman eigenfunction. This approach does not require any prior knowledge of the system dynamics or the true Koopman spectral decomposition. The method may be applied to extensions of DMD (i.e., extended/kernel DMD), which are applicable to a wider range of problems. The accuracy criterion is first validated against the true error with a synthetic system for which the true Koopman spectral decomposition is known. We next demonstrate how this proposed accuracy criterion can be used to assess the performance of various choices of kernel when using the kernel method for extended DMD. Finally, we show that our proposed method successfully identifies modes of high accuracy when applying DMD to data from experiments in fluids, in particular particle image velocimetry of a cylinder wake and a canonical separated boundary layer.

Full work available at URL: https://arxiv.org/abs/1710.00745

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zbMATH Keywords

model selectionreduced order modelingdata-driven methodsdynamic mode decompositionKoopman operator

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Linear composition operators (47B33) Numerical problems in dynamical systems (65P99)

Cites Work

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• Model Reduction for Flow Analysis and Control
• Radial kernels and their reproducing kernel Hilbert spaces
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Cited In (3)

• Sparsity-promoting algorithms for the discovery of informative Koopman-invariant subspaces
• Residual dynamic mode decomposition: robust and verified Koopmanism
• Data-driven operator theoretic methods for phase space learning and analysis

Uses Software

• odmd
• PRMLT

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