A data-driven approximation of the koopman operator: extending dynamic mode decomposition
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Publication:897161
DOI10.1007/S00332-015-9258-5zbMATH Open1329.65310OpenAlexW3099674394MaRDI QIDQ897161FDOQ897161
Authors: Matthew O. Williams, Clarence W. Rowley, I. G. Kevrekidis 
Publication date: 17 December 2015
Published in: Journal of Nonlinear Science (Search for Journal in Brave)
Abstract: The Koopman operator is a linear but infinite dimensional operator that governs the evolution of scalar observables defined on the state space of an autonomous dynamical system, and is a powerful tool for the analysis and decomposition of nonlinear dynamical systems. In this manuscript, we present a data driven method for approximating the leading eigenvalues, eigenfunctions, and modes of the Koopman operator. The method requires a data set of snapshot pairs and a dictionary of scalar observables, but does not require explicit governing equations or interaction with a "black box" integrator. We will show that this approach is, in effect, an extension of Dynamic Mode Decomposition (DMD), which has been used to approximate the Koopman eigenvalues and modes. Furthermore, if the data provided to the method are generated by a Markov process instead of a deterministic dynamical system, the algorithm approximates the eigenfunctions of the Kolmogorov backward equation, which could be considered as the "stochastic Koopman operator" [1]. Finally, four illustrative examples are presented: two that highlight the quantitative performance of the method when presented with either deterministic or stochastic data, and two that show potential applications of the Koopman eigenfunctions.
Full work available at URL: https://arxiv.org/abs/1408.4408
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data miningalgorithmeigenfunctioneigenvaluenonlinear dynamical systemsnumerical examplespectral methodsdynamic mode decompositionKolmogorov backward equationKoopman spectral analysisreduced-rder modelsset oriented methods
Generation, random and stochastic difference and differential equations (37H10) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Linear composition operators (47B33) Numerical problems in dynamical systems (65P99)
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