Rigorous data-driven computation of spectral properties of Koopman operators for dynamical systems

TL;DR

This paper introduces rigorous, data-driven algorithms with convergence guarantees for computing spectral properties of Koopman operators from trajectory data, applicable to high-dimensional and chaotic systems.

Contribution

The paper presents the first residual dynamic mode decomposition (ResDMD) scheme with error control for spectral analysis of Koopman operators, including high-dimensional and chaotic systems.

Findings

ResDMD computes spectra and pseudospectra without spectral pollution.

Algorithms achieve high-order convergence even for chaotic systems.

Successful application to high-dimensional systems like protein dynamics and turbulent flow.

Abstract

Koopman operators are infinite-dimensional operators that globally linearize nonlinear dynamical systems, making their spectral information valuable for understanding dynamics. However, Koopman operators can have continuous spectra and infinite-dimensional invariant subspaces, making computing their spectral information a considerable challenge. This paper describes data-driven algorithms with rigorous convergence guarantees for computing spectral information of Koopman operators from trajectory data. We introduce residual dynamic mode decomposition (ResDMD), which provides the first scheme for computing the spectra and pseudospectra of general Koopman operators from snapshot data without spectral pollution. Using the resolvent operator and ResDMD, we compute smoothed approximations of spectral measures associated with general measure-preserving dynamical systems. We prove explicit convergence theorems for our algorithms, which can achieve high-order convergence even for chaotic systems when computing the density of the continuous spectrum and the discrete spectrum. Since our algorithms come with error control, ResDMD allows aposteri verification of spectral quantities, Koopman mode decompositions, and learned dictionaries. We demonstrate our algorithms on the tent map, circle rotations, Gauss iterated map, nonlinear pendulum, double pendulum, and Lorenz system. Finally, we provide kernelized variants of our algorithms for dynamical systems with a high-dimensional state space. This allows us to compute the spectral measure associated with the dynamics of a protein molecule with a 20,046-dimensional state space and compute nonlinear Koopman modes with error bounds for turbulent flow past aerofoils with Reynolds number $>10^5$ that has a 295,122-dimensional state space.