Koopman spectra in reproducing kernel Hilbert spaces

Suddhasattwa Das, Dimitrios Giannakis

Research output: Contribution to journalArticlepeer-review

Abstract

Every invertible, measure-preserving dynamical system induces a Koopman operator, which is a linear, unitary evolution operator acting on the L2 space of observables associated with the invariant measure. Koopman eigenfunctions represent the quasiperiodic, or non-mixing, component of the dynamics. The extraction of these eigenfunctions and their associated eigenfrequencies from a given time series is a non-trivial problem when the underlying system has a dense point spectrum, or a continuous spectrum behaving similarly to noise. This paper describes methods for identifying Koopman eigenfrequencies and eigenfunctions from a discretely sampled time series generated by such a system with unknown dynamics. Our main result gives necessary and sufficient conditions for a Fourier function, defined on N states sampled along an orbit of the dynamics, to be extensible to a Koopman eigenfunction on the whole state space, lying in a reproducing kernel Hilbert space (RKHS). In particular, we show that such an extension exists if and only if the RKHS norm of the Fourier function does not diverge as N→∞. In that case, the corresponding Fourier frequency is also a Koopman eigenfrequency, modulo a unique translate by a Nyquist frequency interval, and the RKHS extensions of the N-sample Fourier functions converge to a Koopman eigenfunction in RKHS norm. For Koopman eigenfunctions in L2 that do not have RKHS representatives, the RKHS extensions of Fourier functions at the corresponding eigenfrequencies are shown to converge in L2 norm. Numerical experiments on mixed-spectrum systems with weak periodic components demonstrate that this approach has significantly higher skill in identifying Koopman eigenfrequencies compared to conventional spectral estimation techniques based on the discrete Fourier transform.

Original languageEnglish (US)
Pages (from-to)573-607
Number of pages35
JournalApplied and Computational Harmonic Analysis
Volume49
Issue number2
DOIs
StatePublished - Sep 2020

Keywords

  • Ergodic dynamical systems
  • Koopman operators
  • Reproducing kernel Hilbert spaces
  • Spectral estimation

ASJC Scopus subject areas

  • Applied Mathematics

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