Ergodic theory, dynamic mode decomposition, and computation of spectral properties of the Koopman operator

DOI10.1137/17M1125236zbMATH Open1381.37096arXiv1611.06664OpenAlexW3105713006MaRDI QIDQ4601202FDOQ4601202

Authors: Hassan Arbabi, Igor Mezić 

Publication date: 12 January 2018

Published in: SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)

Abstract: We establish the convergence of a class of numerical algorithms, known as Dynamic Mode Decomposition (DMD), for computation of the eigenvalues and eigenfunctions of the infinite-dimensional Koopman operator. The algorithms act on data coming from observables on a state space, arranged in Hankel-type matrices. The proofs utilize the assumption that the underlying dynamical system is ergodic. This includes the classical measure-preserving systems, as well as systems whose attractors support a physical measure. Our approach relies on the observation that vector projections in DMD can be used to approximate the function projections by the virtue of Birkhoff's ergodic theorem. Using this fact, we show that applying DMD to Hankel data matrices in the limit of infinite-time observations yields the true Koopman eigenfunctions and eigenvalues. We also show that the Singular Value Decomposition, which is the central part of most DMD algorithms, converges to the Proper Orthogonal Decomposition of observables. We use this result to obtain a representation of the dynamics of systems with continuous spectrum based on the lifting of the coordinates to the space of observables. The numerical application of these methods is demonstrated using well-known dynamical systems and examples from computational fluid dynamics.

Full work available at URL: https://arxiv.org/abs/1611.06664

Recommendations

• On convergence of extended dynamic mode decomposition to the Koopman operator
• Data-driven spectral analysis of the Koopman operator
• A data-driven approximation of the koopman operator: extending dynamic mode decomposition
• The mpEDMD Algorithm for Data-Driven Computations of Measure-Preserving Dynamical Systems
• Koopman spectra in reproducing kernel Hilbert spaces

zbMATH Keywords

singular value decompositionergodic theoryHankel matrixproper orthogonal decompositiondynamic mode decompositionKoopman operator

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Ergodic theorems, spectral theory, Markov operators (37A30) Dynamical systems in fluid mechanics, oceanography and meteorology (37N10)

Cites Work

• Dynamic mode decomposition of numerical and experimental data
• Spectral analysis of nonlinear flows
• Deterministic Nonperiodic Flow
• Turbulence, coherent structures, dynamical systems and symmetry.
• Multiresolution dynamic mode decomposition
• Embedology
• What are SRB measures, and which dynamical systems have them?
• Numerical methods for large eigenvalue problems
• Title not available (Why is that?)
• Ergodic theory of chaos and strange attractors
• Ergodic theorems. With a supplement by Antoine Brunel
• Turbulence and the dynamics of coherent structures. I. Coherent structures
• On the use of Fourier averages to compute the global isochrons of (quasi)periodic dynamics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Event-based minimum-time control of oscillatory neuron models
• Title not available (Why is that?)
• Sensitivity Measures for Oscillating Systems: Application to Mammalian Circadian Gene Network
• Comparison of systems with complex behavior
• Variants of dynamic mode decomposition: boundary condition, Koopman, and Fourier analyses
• Spectral properties of dynamical systems, model reduction and decompositions
• On dynamic mode decomposition: theory and applications
• Dynamic mode decomposition with control
• Applied Koopmanism
• Compressed sensing and dynamic mode decomposition
• Title not available (Why is that?)
• Ergodic theory and experimental visualization of invariant sets in chaotically advected flows
• An eigensystem realization algorithm for modal parameter identification and model reduction
• Dynamical Systems of Continuous Spectra
• A data-driven approximation of the koopman operator: extending dynamic mode decomposition
• Anders C. Hansen infinite-dimensional numerical linear algebra: theory and applications
• On the numerical approximation of the Perron-Frobenius and Koopman operator
• Hamiltonian Systems and Transformation in Hilbert Space
• The Lorenz attractor is mixing
• Title not available (Why is that?)
• Data-driven spectral decomposition and forecasting of ergodic dynamical systems
• Global Stability Analysis Using the Eigenfunctions of the Koopman Operator
• Ergodic theory, dynamic mode decomposition, and computation of spectral properties of the Koopman operator
• Sparse sensor placement optimization for classification

Cited In (only showing first 100 items - show all)

• Prediction accuracy of dynamic mode decomposition
• Generative stochastic modeling of strongly nonlinear flows with non-Gaussian statistics
• Data-driven spectral analysis of the Koopman operator
• Delay-coordinate maps and the spectra of Koopman operators
• Data-driven spectral decomposition and forecasting of ergodic dynamical systems
• Two methods to approximate the Koopman operator with a reservoir computer
• Ergodic theorems for dynamic imprecise probability kinematics
• Combining dynamic mode decomposition with ensemble Kalman filtering for tracking and forecasting
• A study on data-driven identification and representation of nonlinear dynamical systems with a physics-integrated deep learning approach: Koopman operators and nonlinear normal modes
• Parsimony as the ultimate regularizer for physics-informed machine learning
• Strong consistency of the projected total least squares dynamic mode decomposition for datasets with random noise
• Multiscale model reduction for incompressible flows
• Delay-coordinate maps, coherence, and approximate spectra of evolution operators
• Data-driven inference of high-accuracy isostable-based dynamical models in response to external inputs
• On the approximation of Koopman spectra for measure preserving transformations
• Data-driven probability density forecast for stochastic dynamical systems
• Koopman Operators and the $3x+1$-Dynamical System
• Discovery of Nonlinear Multiscale Systems: Sampling Strategies and Embeddings
• Sparse reduced-order modelling: sensor-based dynamics to full-state estimation
• A data-driven, physics-informed framework for forecasting the spatiotemporal evolution of chaotic dynamics with nonlinearities modeled as exogenous forcings
• Data-driven reduced modelling of turbulent Rayleigh-Bénard convection using DMD-enhanced fluctuation-dissipation theorem
• Higher Order Extended Dynamic Mode Decomposition Based on the Structured Total Least Squares
• Data-driven identification of parametric partial differential equations
• Time-delay observables for Koopman: theory and applications
• A reduced order method for nonlinear parameterized partial differential equations using dynamic mode decomposition coupled with \(k\)-nearest-neighbors regression
• A Koopman framework for rare event simulation in stochastic differential equations
• Memory-based reduced modelling and data-based estimation of opinion spreading
• Koopman operator spectrum for random dynamical systems
• Spectrum of the Koopman operator, spectral expansions in functional spaces, and state-space geometry
• Geometric considerations of a good dictionary for Koopman analysis of dynamical systems: cardinality, ``primary eigenfunction, and efficient representation
• Operator-theoretic framework for forecasting nonlinear time series with kernel analog techniques
• Parametric dynamic mode decomposition for reduced order modeling
• Reproducing kernel Hilbert space compactification of unitary evolution groups
• Data-driven forecasting of high-dimensional chaotic systems with long short-term memory networks
• On the structure of time-delay embedding in linear models of non-linear dynamical systems
• Searching turbulence for periodic orbits with dynamic mode decomposition
• Koopman operator approach for computing structure of solutions and observability of nonlinear dynamical systems over finite fields
• Kernel Analog Forecasting: Multiscale Test Problems
• On explaining the surprising success of reservoir computing forecaster of chaos? The universal machine learning dynamical system with contrast to VAR and DMD
• Residual dynamic mode decomposition: robust and verified Koopmanism
• Data-driven learning for the Mori-Zwanzig formalism: a generalization of the Koopman learning framework
• Randomized Dynamic Mode Decomposition
• On sample-based computations of invariant sets
• On the numerical approximation of the Perron-Frobenius and Koopman operator
• An adaptive phase-amplitude reduction framework without \(\mathcal{O}(\epsilon)\) constraints on inputs
• Towards global optimal control via Koopman lifts
• Commutator methods for the spectral analysis of uniquely ergodic dynamical systems
• Dynamic mode decomposition in vector-valued reproducing kernel Hilbert spaces for extracting dynamical structure among observables
• Dynamic mode decomposition for continuous time systems with the Liouville operator
• Koopman spectra in reproducing kernel Hilbert spaces
• Extension of dynamic mode decomposition for dynamic systems with incomplete information based on t-model of optimal prediction
• Detecting regime transitions in time series using dynamic mode decomposition
• Data driven Koopman spectral analysis in Vandermonde-Cauchy form via the DFT: numerical method and theoretical insights
• Non-intrusive data-driven model reduction for differential-algebraic equations derived from lifting transformations
• Identification and reconstruction of high-frequency fluctuations evolving on a low-frequency periodic limit cycle: application to turbulent cylinder flow
• Koopman Operator Family Spectrum for Nonautonomous Systems
• Koopman analysis of the long-term evolution in a turbulent convection cell
• On Matching, and Even Rectifying, Dynamical Systems through Koopman Operator Eigenfunctions
• Existence and uniqueness of global Koopman eigenfunctions for stable fixed points and periodic orbits
• Data-driven operator theoretic methods for phase space learning and analysis
• Centering data improves the dynamic mode decomposition
• Forecasting of nonlinear dynamics based on symbolic invariance
• Statistical modeling and an adaptive averaging technique for strong convergence of the dynamic mode decomposition
• Physics-Informed Probabilistic Learning of Linear Embeddings of Nonlinear Dynamics with Guaranteed Stability
• On convergence of extended dynamic mode decomposition to the Koopman operator
• Koopman mode expansions between simple invariant solutions
• Ergodic theory, dynamic mode decomposition, and computation of spectral properties of the Koopman operator
• Modern Koopman theory for dynamical systems
• Towards tensor-based methods for the numerical approximation of the Perron-Frobenius and Koopman operator
• Parametric energy conserving sampling and weighting for the thermal analysis of selective laser melting
• Koopman Analysis of Isolated Fronts and Solitons
• Data-driven identification of dynamical models using adaptive parameter sets
• Symmetric projection attractor reconstruction: embedding in higher dimensions
• Koopman resolvent: a Laplace-domain analysis of nonlinear autonomous dynamical systems
• On the role of nonlinear correlations in reduced-order modelling
• Phase space partition with Koopman analysis
• Koopman neural operator as a mesh-free solver of non-linear partial differential equations
• The spatiotemporal coupling in delay-coordinates dynamic mode decomposition
• On principles of emergent organization
• A data-driven surrogate modeling approach for time-dependent incompressible Navier-Stokes equations with dynamic mode decomposition and manifold interpolation
• Sparsity-promoting algorithms for the discovery of informative Koopman-invariant subspaces
• On Koopman mode decomposition and tensor component analysis
• Mean resolvent operator of a statistically steady flow
• The \(l_1\)-based sparsification of energy interactions in unsteady lid-driven cavity flow
• On least squares problems with certain Vandermonde-Khatri-Rao structure with applications to DMD
• A LAPACK implementation of the dynamic mode decomposition
• Conditional space-time POD extensions for stability and prediction analysis
• Existence and uniqueness of solutions of the Koopman-von Neumann equation on bounded domains
• Rigorous data‐driven computation of spectral properties of Koopman operators for dynamical systems
• Mitigating Model Error via a Multimodel Method and Application to Tropical Intraseasonal Oscillations
• Koopman Operator Inspired Nonlinear System Identification
• Sparsity structures for Koopman and Perron-Frobenius operators
• Data-driven model identification using forcing-induced limit cycles
• Ensemble forecasts in reproducing kernel Hilbert space family
• The sparse-grid-based adaptive spectral Koopman method
• Machine learning methods for reduced order modeling
• Representing turbulent statistics with partitions of state space. I: Theory and methodology
• Dynamic mode decomposition for Koopman spectral analysis of elementary cellular automata
• Regression-Based Projection for Learning Mori–Zwanzig Operators
• Spectral Properties of Pullback Operators on Vector Bundles of a Dynamical System

This page was built for publication: Ergodic theory, dynamic mode decomposition, and computation of spectral properties of the Koopman operator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4601202)