Data-Driven Approximation of Transfer Operators: Naturally Structured Dynamic Mode Decomposition (1709.06203v2)

Abstract: In this paper, we provide a new algorithm for the finite dimensional approximation of the linear transfer Koopman and Perron-Frobenius operator from time series data. We argue that existing approach for the finite dimensional approximation of these transfer operators such as Dynamic Mode Decomposition (DMD) and Extended Dynamic Mode Decomposition (EDMD) do not capture two important properties of these operators, namely positivity and Markov property. The algorithm we propose in this paper preserve these two properties. We call the proposed algorithm as naturally structured DMD since it retains the inherent properties of these operators. Naturally structured DMD algorithm leads to a better approximation of the steady-state dynamics of the system regarding computing Koopman and Perron- Frobenius operator eigenfunctions and eigenvalues. However preserving positivity properties is critical for capturing the real transient dynamics of the system. This positivity of the transfer operators and it's finite dimensional approximation also has an important implication on the application of the transfer operator methods for controller and estimator design for nonlinear systems from time series data.