Optimal Low-Rank Dynamic Mode Decomposition (1701.01064v3)

Abstract: Dynamic Mode Decomposition (DMD) has emerged as a powerful tool for analyzing the dynamics of non-linear systems from experimental datasets. Recently, several attempts have extended DMD to the context of low-rank approximations. This extension is of particular interest for reduced-order modeling in various applicative domains, e.g. for climate prediction, to study molecular dynamics or micro-electromechanical devices. This low-rank extension takes the form of a non-convex optimization problem. To the best of our knowledge, only sub-optimal algorithms have been proposed in the literature to compute the solution of this problem. In this paper, we prove that there exists a closed-form optimal solution to this problem and design an effective algorithm to compute it based on Singular Value Decomposition (SVD). A toy-example illustrates the gain in performance of the proposed algorithm compared to state-of-the-art techniques.