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

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 (mpEDMD), the first Galerkin method whose eigendecomposition converges to the spectral quantities of Koopman operators for general measure-preserving dynamical systems. 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 preexisting dynamic mode decomposition (DMD)-type method, and with different types of data. We prove convergence of 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 mpEDMD on a range of challenging examples, its increased robustness to noise compared to other DMD-type methods, and its ability to capture the energy conservation and cascade of a turbulent boundary layer flow with Reynolds number and state-space dimension .