Data-driven spectral decomposition and forecasting of ergodic dynamical systems

Research output: Contribution to journalArticle

Abstract

We develop a framework for dimension reduction, mode decomposition, and nonparametric forecasting of data generated by ergodic dynamical systems. This framework is based on a representation of the Koopman and Perron–Frobenius groups of unitary operators in a smooth orthonormal basis of the L2 space of the dynamical system, acquired from time-ordered data through the diffusion maps algorithm. Using this representation, we compute Koopman eigenfunctions through a regularized advection–diffusion operator, and employ these eigenfunctions in dimension reduction maps with projectible dynamics and high smoothness for the given observation modality. In systems with pure point spectra, we construct a decomposition of the generator of the Koopman group into mutually commuting vector fields that transform naturally under changes of observation modality, which we reconstruct in data space through a representation of the pushforward map in the Koopman eigenfunction basis. We also establish a correspondence between Koopman operators and Laplace–Beltrami operators constructed from data in Takens delay-coordinate space, and use this correspondence to provide an interpretation of diffusion-mapped delay coordinates for this class of systems. Moreover, we take advantage of a special property of the Koopman eigenfunction basis, namely that the basis elements evolve as simple harmonic oscillators, to build nonparametric forecast models for probability densities and observables. In systems with more complex spectral behavior, including mixing systems, we develop a method inspired from time change in dynamical systems to transform the generator to a new operator with potentially improved spectral properties, and use that operator for vector field decomposition and nonparametric forecasting.

Original languageEnglish (US)
Pages (from-to)338-396
Number of pages59
JournalApplied and Computational Harmonic Analysis
Volume47
Issue number2
DOIs
StatePublished - Sep 2019

Keywords

  • Diffusion maps
  • Dynamic mode decomposition
  • Ergodic dynamical systems
  • Kernel methods
  • Koopman operators
  • Nonparametric forecasting
  • Perron–Frobenius operators
  • Time change

ASJC Scopus subject areas

  • Applied Mathematics

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