Compressed sensing and dynamic mode decomposition

DOI10.3934/JCD.2015002zbMATH Open1347.94012arXiv1312.5186OpenAlexW2405892775MaRDI QIDQ317178FDOQ317178

S. L. Brunton, J. L. Proctor, J. N. Kutz, Jonathan H. Tu

Publication date: 30 September 2016

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

Abstract: This work develops compressive sampling strategies for computing the dynamic mode decomposition (DMD) from heavily subsampled or output-projected data. The resulting DMD eigenvalues are equal to DMD eigenvalues from the full-state data. It is then possible to reconstruct full-state DMD eigenvectors using $el{l}_1$-minimization or greedy algorithms. If full-state snapshots are available, it may be computationally beneficial to compress the data, compute a compressed DMD, and then reconstruct full-state modes by applying the projected DMD transforms to full-state snapshots. These results rely on a number of theoretical advances. First, we establish connections between the full-state and projected DMD. Next, we demonstrate the invariance of the DMD algorithm to left and right unitary transformations. When data and modes are sparse in some transform basis, we show a similar invariance of DMD to measurement matrices that satisfy the so-called restricted isometry principle from compressive sampling. We demonstrate the success of this architecture on two model systems. In the first example, we construct a spatial signal from a sparse vector of Fourier coefficients with a linear dynamical system driving the coefficients. In the second example, we consider the double gyre flow field, which is a model for chaotic mixing in the ocean.

Full work available at URL: https://arxiv.org/abs/1312.5186

zbMATH Keywords

dynamical systemscompressed sensingunitary operatorscompressive samplingdynamic mode decomposition

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Time series analysis of dynamical systems (37M10) Approximation methods and numerical treatment of dynamical systems (37M99) Numerical problems in dynamical systems (65P99) Basic methods in fluid mechanics (76M99)

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Cited In (34)

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Uses Software

• LAPACK
• CoSaMP

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