Koopman spectra in reproducing kernel Hilbert spaces

DOI10.1016/J.ACHA.2020.05.008zbMATH Open1446.37072arXiv1801.07799OpenAlexW2785195724MaRDI QIDQ778031FDOQ778031

Authors: Suddhasattwa Das, Dimitrios Giannakis 

Publication date: 30 June 2020

Published in: Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Abstract: Every invertible, measure-preserving dynamical system induces a Koopman operator, which is a linear, unitary evolution operator acting on the $L^2$ space of observables associated with the invariant measure. Koopman eigenfunctions represent the quasiperiodic, or non-mixing, component of the dynamics. The extraction of these eigenfunctions and their associated eigenfrequencies from a given time series is a non-trivial problem when the underlying system has a dense point spectrum, or a continuous spectrum behaving similarly to noise. This paper describes methods for identifying Koopman eigenfrequencies and eigenfunctions from a discretely sampled time series generated by such a system with unknown dynamics. Our main result gives necessary and sufficient conditions for a Fourier function, defined on $N$ states sampled along an orbit of the dynamics, to be extensible to a Koopman eigenfunction on the whole state space, lying in a reproducing kernel Hilbert space (RKHS). In particular, we show that such an extension exists if and only if the RKHS norm of the Fourier function does not diverge as $Noinfty$, in which case the corresponding Fourier frequency is also a Koopman eigenfrequency. If such an RKHS extension does not exist, we can still construct an $L^2$ approximation of the eigenfunction. Numerical experiments on mixed-spectrum systems with weak periodic components demonstrate that this approach has significantly higher skill in identifying Koopman eigenfrequencies compared to conventional spectral estimation techniques based on the discrete Fourier transform.

Full work available at URL: https://arxiv.org/abs/1801.07799

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zbMATH Keywords

reproducing kernel Hilbert spacesspectral estimationergodic dynamical systemsKoopman operators

Mathematics Subject Classification ID

Dynamical aspects of measure-preserving transformations (37A05) Dynamical systems involving one-parameter continuous families of measure-preserving transformations (37A10) Ergodic theorems, spectral theory, Markov operators (37A30) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Ergodic theory of linear operators (47A35) Linear operators in reproducing-kernel Hilbert spaces (including de Branges, de Branges-Rovnyak, and other structured spaces) (47B32)

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Cited In (21)

• Delay-coordinate maps and the spectra of Koopman operators
• 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
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• Conditional expectation using compactification operators
• Comparison of systems with complex behavior
• Koopman and Perron-Frobenius operators on reproducing kernel Banach spaces
• Ergodic theory, dynamic mode decomposition, and computation of spectral properties of the Koopman operator
• Modern Koopman theory for dynamical systems

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