A framework for data assimilation combining aspects of operator-theoretic ergodic theory and quantum mechanics is developed. This framework adapts the Dirac-von Neumann formalism of quantum dynamics and measurement to perform sequential data assimilation (filtering) of a partially observed, measure-preserving dynamical system, using the Koopman operator on the L2 space associated with the invariant measure as an analog of the Heisenberg evolution operator in quantum mechanics. In addition, the state of the data assimilation system is represented by a trace-class operator analogous to the quantum mechanical density operator, and the assimilated observables by self-adjoint multiplication operators. An averaging approach is also introduced, rendering the spectrum of the assimilated observables discrete and thus amenable to numerical approximation. We present a data-driven formulation of the quantum mechanical data assimilation approach, utilizing kernel methods from machine learning and delay-coordinate maps of dynamical systems to represent the evolution and measurement operators via matrices in a data-driven basis. The data-driven formulation is structurally similar to its infinite-dimensional counterpart and shown to converge in a limit of large data under mild assumptions. Applications to periodic oscillators and the Lorenz 63 system demonstrate that the framework is able to naturally handle highly non-Gaussian statistics, complex state space geometries, and chaotic dynamics.
ASJC Scopus subject areas
- Statistical and Nonlinear Physics
- Statistics and Probability
- Condensed Matter Physics