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Journal of Computational Dynamics (JCD)
 

On dynamic mode decomposition: Theory and applications

Pages: 391 - 421, Volume 1, Issue 2, December 2014      doi:10.3934/jcd.2014.1.391

 
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Jonathan H. Tu - Dept. of Mechanical and Aerospace Engineering, Princeton University, Princeton, NJ 08544, United States (email)
Clarence W. Rowley - Dept. of Mechanical and Aerospace Engineering, Princeton University, Princeton, NJ 08544, United States (email)
Dirk M. Luchtenburg - Dept. of Mechanical and Aerospace Engineering, Princeton University, Princeton, NJ 08544, United States (email)
Steven L. Brunton - Dept. of Applied Mathematics, University of Washington, Seattle, WA 98195, United States (email)
J. Nathan Kutz - Dept. of Applied Mathematics, University of Washington, Seattle, WA 98195, United States (email)

Abstract: Originally introduced in the fluid mechanics community, dynamic mode decomposition (DMD) has emerged as a powerful tool for analyzing the dynamics of nonlinear systems. However, existing DMD theory deals primarily with sequential time series for which the measurement dimension is much larger than the number of measurements taken. We present a theoretical framework in which we define DMD as the eigendecomposition of an approximating linear operator. This generalizes DMD to a larger class of datasets, including nonsequential time series. We demonstrate the utility of this approach by presenting novel sampling strategies that increase computational efficiency and mitigate the effects of noise, respectively. We also introduce the concept of linear consistency, which helps explain the potential pitfalls of applying DMD to rank-deficient datasets, illustrating with examples. Such computations are not considered in the existing literature but can be understood using our more general framework. In addition, we show that our theory strengthens the connections between DMD and Koopman operator theory. It also establishes connections between DMD and other techniques, including the eigensystem realization algorithm (ERA), a system identification method, and linear inverse modeling (LIM), a method from climate science. We show that under certain conditions, DMD is equivalent to LIM.

Keywords:  Dynamic mode decomposition, Koopman operator, spectral analysis, time series analysis, reduced-order models.
Mathematics Subject Classification:  Primary: 37M10, 65P99; Secondary: 47B33.

Received: November 2013;      Revised: November 2014;      Available Online: December 2014.

 References