Estimate the spectrum of affine dynamical systems from partial observations of a single trajectory data

Abstract

In this paper, we study the nonlinear inverse problem of estimating the spectrum of a system matrix, that drives a finite-dimensional affine dynamical system, from partial observations of a single trajectory data. In the noiseless case, we prove an annihilating polynomial of the system matrix, whose roots are a subset of the spectrum, can be uniquely determined from data. We then study which eigenvalues of the system matrix can be recovered and derive various sufficient and necessary conditions to characterize the relationship between the recoverability of each eigenvalue and the observation locations. We propose various reconstruction algorithms with theoretical guarantees, generalizing the classical Prony method, ESPRIT, and matrix pencil method. We test the algorithms over a variety of examples with applications to graph signal processing, disease modeling and a real-human motion dataset. The numerical results validate our theoretical results and demonstrate the effectiveness of the proposed algorithms.