Robust approximation of the stochastic Koopman operator
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Publication:5095756
Abstract: We analyze the performance of Dynamic Mode Decomposition (DMD)-based approximations of the stochastic Koopman operator for random dynamical systems where either the dynamics or observables are affected by noise. For many DMD algorithms, the presence of noise can introduce a bias in the DMD operator, leading to poor approximations of the dynamics. In particular, methods using time delayed observables, such as Hankel DMD, are biased when the dynamics are random. We introduce a new, robust DMD algorithm that can approximate the stochastic Koopman operator despite the presence of noise. We then demonstrate how this algorithm can be applied to time delayed observables, which allows us to generate a Krylov subspace from a single observable. This allows us to compute a realization of the stochastic Koopman operator using a single observable measured over a single trajectory. We test the performance of the algorithms over several examples.
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Cited in
(14)- Koopman operator spectrum for random dynamical systems
- On robust computation of Koopman operator and prediction in random dynamical systems
- Koopman operator theory for nonautonomous and stochastic systems
- Estimation of the Koopman Generator by Newton's Extrapolation
- Numerical methods to evaluate Koopman matrix from system equations
- On the Approximability of Koopman-Based Operator Lyapunov Equations
- Auxiliary functions as Koopman observables: data-driven analysis of dynamical systems via polynomial optimization
- On higher order drift and diffusion estimates for stochastic SINDy
- Bridging the gap between Koopmanism and response theory: using natural variability to predict forced response
- A data-driven framework for Koopman semigroup estimation in stochastic dynamical systems
- The distributional Koopman operator for random dynamical systems
- On the convergence of Hermitian dynamic mode decomposition
- Koopman operator-based discussion on partial observation in stochastic systems
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