Variable projection methods for an optimized dynamic mode decomposition
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Publication:4608086
DOI10.1137/M1124176zbMATH Open1384.37122arXiv1704.02343OpenAlexW2605532580MaRDI QIDQ4608086FDOQ4608086
Authors: Travis Askham, J. N. Kutz 
Publication date: 15 March 2018
Published in: SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)
Abstract: The dynamic mode decomposition (DMD) has become a leading tool for data-driven modeling of dynamical systems, providing a regression framework for fitting linear dynamical models to time-series measurement data. We present a simple algorithm for computing an optimized version of the DMD for data which may be collected at unevenly spaced sample times. By making use of the variable projection method for nonlinear least squares problems, the algorithm is capable of solving the underlying nonlinear optimization problem efficiently. We explore the performance of the algorithm with some numerical examples for synthetic and real data from dynamical systems and find that the resulting decomposition displays less bias in the presence of noise than standard DMD algorithms. Because of the flexibility of the algorithm, we also present some interesting new options for DMD-based analysis.
Full work available at URL: https://arxiv.org/abs/1704.02343
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Cited In (42)
- An Optimized Dynamic Mode Decomposition Model Robust to Multiplicative Noise
- Optimized Sampling for Multiscale Dynamics
- Strong consistency of the projected total least squares dynamic mode decomposition for datasets with random noise
- Data-driven resolvent analysis
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