Data driven Koopman spectral analysis in Vandermonde-Cauchy form via the DFT: numerical method and theoretical insights

DOI10.1137/18M1227688MaRDI QIDQ5240804zbMATH OpenOpenAlexWikidataFDO

Authors Zlatko Drmač, Igor Mezić, Ryan Mohr

Publication date 29 October 2019

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.09557

zbMATH Keywords

Krylov subspacesVandermonde matrixdiscrete Fourier transformproper orthogonal decompositionCauchy matrixdynamic mode decompositionKoopman operatorRayleigh-Ritz approximationgeneralized Laplace analysis

Mathematics Subject Classification ID

Factorization of matrices (15A23) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12) Algorithms for approximation of functions (65D15) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Abstract: The goals and contributions of this paper are twofold. It provides a new computational tool for data driven Koopman spectral analysis by taking up the formidable challenge to develop a numerically robust algorithm by following the natural formulation via the Krylov decomposition with the Frobenius companion matrix, and by using its eigenvectors explicitly -- these are defined as the inverse of the notoriously ill-conditioned Vandermonde matrix. The key step to curb ill-conditioning is the discrete Fourier transform of the snapshots; in the new representation, the Vandermonde matrix is transformed into a generalized Cauchy matrix, which then allows accurate computation by specially tailored algorithms of numerical linear algebra. The second goal is to shed light on the connection between the formulas for optimal reconstruction weights when reconstructing snapshots using subsets of the computed Koopman modes. It is shown how using a certain weaker form of generalized inverses leads to explicit reconstruction formulas that match the abstract results from Koopman spectral theory, in particular the Generalized Laplace Analysis.

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Cited in

(6)

• Modern Koopman theory for dynamical systems
• Data-driven spectral analysis of the Koopman operator
• Data-driven eigensolution analysis based on a spatio-temporal Koopman decomposition, with applications to high-order methods
• On least squares problems with certain Vandermonde-Khatri-Rao structure with applications to DMD
• On the structure of time-delay embedding in linear models of non-linear dynamical systems
• A data-driven approximation of the koopman operator: extending dynamic mode decomposition

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