The mpEDMD Algorithm for Data-Driven Computations of Measure-Preserving Dynamical Systems

DOI10.1137/22M1521407MaRDI QIDQ6108137zbMATH OpenOpenAlexFDO

Authors Matthew J. Colbrook

Publication date 29 June 2023

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2209.02244

zbMATH Keywords

computational spectral problemdynamic mode decompositiondynamical systemsinfinite dimensionsKoopman operatorstructure-preserving algorithms

Mathematics Subject Classification ID

Dynamical aspects of measure-preserving transformations (37A05) Time series analysis of dynamical systems (37M10) Dynamical systems in fluid mechanics, oceanography and meteorology (37N10) Spectrum, resolvent (47A10) Linear composition operators (47B33) Applications of operator theory in numerical analysis (47N40) Nonlinear algebraic or transcendental equations (65H99) Numerical problems in dynamical systems (65P99)

Abstract: Koopman operators globally linearize nonlinear dynamical systems and their spectral information is a powerful tool for the analysis and decomposition of nonlinear dynamical systems. However, Koopman operators are infinite-dimensional, and computing their spectral information is a considerable challenge. We introduce measure-preserving extended dynamic mode decomposition ($extttmpEDMD$), the first truncation method whose eigendecomposition converges to the spectral quantities of Koopman operators for general measure-preserving dynamical systems. $extttmpEDMD$ is a data-driven algorithm based on an orthogonal Procrustes problem that enforces measure-preserving truncations of Koopman operators using a general dictionary of observables. It is flexible and easy to use with any pre-existing DMD-type method, and with different types of data. We prove convergence of $extttmpEDMD$ for projection-valued and scalar-valued spectral measures, spectra, and Koopman mode decompositions. For the case of delay embedding (Krylov subspaces), our results include the first convergence rates of the approximation of spectral measures as the size of the dictionary increases. We demonstrate $extttmpEDMD$ on a range of challenging examples, its increased robustness to noise compared with other DMD-type methods, and its ability to capture the energy conservation and cascade of experimental measurements of a turbulent boundary layer flow with Reynolds number $>6imes10^4$ and state-space dimension $>10^5$.

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