A Fast Algorithm for Multiresolution Mode Decomposition

Abstract: \emph{Multiresolution mode decomposition} (MMD) is an adaptive tool to analyze a time series $f(t)=\sum_{k=1}^K f_k(t)$, where $f_k(t)$ is a \emph{multiresolution intrinsic mode function} (MIMF) of the form \begin{eqnarray*} f_k(t)&=&\sum_{n=-N/2}^{N/2-1} a_{n,k}\cos(2\pi n\phi_k(t))s_{cn,k}(2\pi N_k\phi_k(t))\&&+\sum_{n=-N/2}^{N/2-1}b_{n,k} \sin(2\pi n\phi_k(t))s_{sn,k}(2\pi N_k\phi_k(t)) \end{eqnarray*} with time-dependent amplitudes, frequencies, and waveforms. The multiresolution expansion coefficients ${a_{n,k}}$, ${b_{n,k}}$, and the shape function series ${s_{cn,k}(t)}$ and ${s_{sn,k}(t)}$ provide innovative features for adaptive time series analysis. The MMD aims at identifying these MIMF's (including their multiresolution expansion coefficients and shape functions series) from their superposition. This paper proposes a fast algorithm for solving the MMD problem based on recursive diffeomorphism-based spectral analysis (RDSA). RDSA admits highly efficient numerical implementation via the nonuniform fast Fourier transform (NUFFT); its convergence and accuracy can be guaranteed theoretically. Numerical examples from synthetic data and natural phenomena are given to demonstrate the efficiency of the proposed method.