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

TL;DR

The paper introduces mpEDMD, a data-driven algorithm that accurately approximates spectral properties of measure-preserving Koopman operators, with proven convergence and robustness to noise, demonstrated on complex dynamical systems.

Contribution

It presents the first convergent truncation method for Koopman spectral analysis in measure-preserving systems, applicable with various data types and DMD variants.

Findings

Proven convergence of mpEDMD for spectral measures and Koopman modes.

Enhanced robustness to noise compared to existing DMD methods.

Successful application to turbulent flow data with high-dimensional state space.

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 ($\texttt{mpEDMD}$), the first truncation method whose eigendecomposition converges to the spectral quantities of Koopman operators for general measure-preserving dynamical systems. $\texttt{mpEDMD}$ 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 $\texttt{mpEDMD}$ 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 $\texttt{mpEDMD}$ 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 $> 6\times 10^4$ and state-space dimension $>10^5$.