On the numerical approximation of the Perron-Frobenius and Koopman operator
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Perron-Frobenius operatortransfer operatorGalerkin methodsUlam's methodKoopman operatorextended dynamic mode decomposition
Dynamical systems in biology (37N25) Time series analysis of dynamical systems (37M10) Functional analytic techniques in dynamical systems; zeta functions, (Ruelle-Frobenius) transfer operators, etc. (37C30) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Numerical approximation of eigenvalues and of other parts of the spectrum of ordinary differential operators (34L16) Special approximation methods (nonlinear Galerkin, etc.) for infinite-dimensional dissipative dynamical systems (37L65)
Abstract: Information about the behavior of dynamical systems can often be obtained by analyzing the eigenvalues and corresponding eigenfunctions of linear operators associated with a dynamical system. Examples of such operators are the Perron-Frobenius and the Koopman operator. In this paper, we will review different methods that have been developed over the last decades to compute finite-dimensional approximations of these infinite-dimensional operators - e.g. Ulam's method and Extended Dynamic Mode Decomposition (EDMD) - and highlight the similarities and differences between these approaches. The results will be illustrated using simple stochastic differential equations and molecular dynamics examples.
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