A parallel and streaming dynamic mode decomposition algorithm with finite precision error analysis for large data

DOI10.1016/J.JCP.2018.12.012zbMATH Open1451.65036arXiv1805.05821OpenAlexW2907482035MaRDI QIDQ2214545FDOQ2214545

Authors: Sreevatsa Anantharamu, Krishnan Mahesh 

Publication date: 9 December 2020

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

Abstract: A novel technique based on the Full Orthogonalization Arnoldi (FOA) is proposed to perform Dynamic Mode Decomposition (DMD) for a sequence of snapshots. A modification to FOA is presented for situations where the matrix $A$ is unknown, but the set of vectors ${A^{i-1}{v}_1}_{i=1}^{N-1}$ are known. The modified FOA is the kernel for the proposed projected DMD algorithm termed, FOA based DMD. The proposed algorithm to compute DMD modes and eigenvalues i) does not require Singular Value Decomposition (SVD) for snapshot matrices $X$ with $kapp{a}_2(X)ll1/epsilo{n}_m$, where $kapp{a}_2(X)$ is the 2-norm condition number of the snapshot matrix and $epsilo{n}_m$ is the relative round-off error or machine epsilon, ii) has an optional rank truncation step motivated by round off error analysis for snapshot matrices $X$ with $kapp{a}_2(X)approx1/epsilo{n}_m$, iii) requires only one snapshot at a time, thus making it a 'streaming' method even with the optional rank truncation step, iv) consumes less memory and requires less floating point operations to obtain the projected matrix than existing projected DMD methods and v) lends itself to easy parallelism as the main computational kernel involves only vector additions, dot products and matrix vector products. The new technique is therefore well-suited for DMD of large datasets on parallel computing platforms. We show both theoretically and using numerical examples that for FOA based DMD without rank truncation, the finite precision error in the computed projection of the linear mapping is $O(epsilo{n}_{m}kapp{a}_2(X))$. The proposed method is also compared to existing projected DMD methods for computational cost, memory consumption and relative round off error. Error indicators are presented that are useful to decide when to stop acquiring new snapshots. The proposed method is applied to several examples of numerical simulations of fluid flow.

Full work available at URL: https://arxiv.org/abs/1805.05821

Recommendations

• Randomized Dynamic Mode Decomposition
• Tensor-based dynamic mode decomposition
• Dynamic mode decomposition -- a numerical linear algebra perspective
• Variants of dynamic mode decomposition: boundary condition, Koopman, and Fourier analyses
• Consistent Dynamic Mode Decomposition

zbMATH Keywords

error analysislarge dataparalleldynamic mode decompositionfull-orthogonalization-Arnoldi

Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Complexity and performance of numerical algorithms (65Y20) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Basic methods in fluid mechanics (76M99)

Cites Work

• Communication-optimal parallel and sequential QR and LU factorizations
• Dynamic mode decomposition of numerical and experimental data
• Spectral analysis of nonlinear flows
• Analysis of Fluid Flows via Spectral Properties of the Koopman Operator
• Numerical methods for large eigenvalue problems
• Accuracy and Stability of Numerical Algorithms
• Title not available (Why is that?)
• Rounding error analysis of the classical Gram-Schmidt orthogonalization process
• Variants of dynamic mode decomposition: boundary condition, Koopman, and Fourier analyses
• On dynamic mode decomposition: theory and applications
• Optimal mode decomposition for unsteady flows
• A data-driven approximation of the koopman operator: extending dynamic mode decomposition
• Experimental investigation of nonlinear instabilities in annular liquid sheets
• Title not available (Why is that?)
• Model Reduction for Flow Analysis and Control
• Loss and Recapture of Orthogonality in the Modified Gram–Schmidt Algorithm
• Recursive dynamic mode decomposition of transient and post-transient wake flows
• A numerical study of shear layer characteristics of low-speed transverse jets

Cited In (7)

• Airfoil-based convolutional autoencoder and long short-term memory neural network for predicting coherent structures evolution around an airfoil
• Global stability analysis and direct numerical simulation of boundary layers with an isolated roughness element
• Effect of tabs on the shear layer dynamics of a jet in cross-flow
• Tracking Distributed Parameters System Dynamics with Recursive Dynamic Mode Decomposition with Control
• Numerical study of cavitation regimes in flow over a circular cylinder
• Data‐driven identification of the spatiotemporal structure of turbulent flows by streaming dynamic mode decomposition
• Higher-order dynamic mode decomposition on-the-fly: a low-order algorithm for complex fluid flows

Uses Software

• mctoolbox

This page was built for publication: A parallel and streaming dynamic mode decomposition algorithm with finite precision error analysis for large data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2214545)