Koopman operators linearize nonlinear dynamical systems, making their spectral information of crucial interest. Numerous algorithms have been developed to approximate these spectral properties, and dynamic mode decomposition (DMD) stands out as the poster child of projection-based methods. Although the Koopman operator itself is linear, the fact that it acts in an infinite-dimensional space of observables poses challenges. These include spurious modes, essential spectra, and the verification of Koopman mode decompositions. While recent work has addressed these challenges for deterministic systems, there remains a notable gap in verified DMD methods for stochastic systems, where the Koopman operator measures the expectation of observables. We show that it is necessary to go beyond expectations to address these issues. By incorporating variance into the Koopman framework, we address these challenges. Through an additional DMD-type matrix, we approximate the sum of a squared residual and a variance term, each of which can be approximated individually using batched snapshot data. This allows verified computation of the spectral properties of stochastic Koopman operators, controlling the projection error. We also introduce the concept of variance-pseudospectra to gauge statistical coherency. Finally, we present a suite of convergence results for the spectral information of stochastic Koopman operators. Our study concludes with practical applications using both simulated and experimental data. In neural recordings from awake mice, we demonstrate how variance-pseudospectra can reveal physiologically significant information unavailable to standard expectation-based dynamical models.
Rigorous data‐driven computation of spectral properties of Koopman operators for dynamical systems
Koopman operators are infinite‐dimensional operators that globally linearize nonlinear dynamical systems, making their spectral information valuable for understanding dynamics. However, Koopman operators can have continuous spectra and infinite‐dimensional invariant subspaces, making computing their spectral information a considerable challenge. This paper describes data‐driven algorithms with rigorous convergence guarantees for computing spectral information of Koopman operators from trajectory data. We introduce residual dynamic mode decomposition (ResDMD), which provides the first scheme for computing the spectra and pseudospectra of general Koopman operators from snapshot data without spectral pollution. Using the resolvent operator and ResDMD, we compute smoothed approximations of spectral measures associated with general measure‐preserving dynamical systems. We prove explicit convergence theorems for our algorithms (including for general systems that are not measure‐preserving), which can achieve high‐order convergence even for chaotic systems when computing the density of the continuous spectrum and the discrete spectrum. Since our algorithms have error control, ResDMD allows aposteri verification of spectral quantities, Koopman mode decompositions, and learned dictionaries. We demonstrate our algorithms on the tent map, circle rotations, Gauss iterated map, nonlinear pendulum, double pendulum, and Lorenz system. Finally, we provide kernelized variants of our algorithms for dynamical systems with a high‐dimensional state space. This allows us to compute the spectral measure associated with the dynamics of a protein molecule with a 20,046‐dimensional state space and compute nonlinear Koopman modes with error bounds for turbulent flow past aerofoils with Reynolds number >105that has a 295,122‐dimensional state space.
more » « less- NSF-PAR ID:
- 10441963
- Publisher / Repository:
- Wiley Blackwell (John Wiley & Sons)
- Date Published:
- Journal Name:
- Communications on Pure and Applied Mathematics
- Volume:
- 77
- Issue:
- 1
- ISSN:
- 0010-3640
- Format(s):
- Medium: X Size: p. 221-283
- Size(s):
- ["p. 221-283"]
- Sponsoring Org:
- National Science Foundation
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Abstract -
Embedding properties of network realizations of dissipative reduced order models Jörn Zimmerling, Mikhail Zaslavsky,Rob Remis, Shasri Moskow, Alexander Mamonov, Murthy Guddati, Vladimir Druskin, and Liliana Borcea Mathematical Sciences Department, Worcester Polytechnic Institute https://www.wpi.edu/people/vdruskin Abstract Realizations of reduced order models of passive SISO or MIMO LTI problems can be transformed to tridiagonal and block-tridiagonal forms, respectively, via dierent modi cations of the Lanczos algorithm. Generally, such realizations can be interpreted as ladder resistor-capacitor-inductor (RCL) networks. They gave rise to network syntheses in the rst half of the 20th century that was at the base of modern electronics design and consecutively to MOR that tremendously impacted many areas of engineering (electrical, mechanical, aerospace, etc.) by enabling e cient compression of the underlining dynamical systems. In his seminal 1950s works Krein realized that in addition to their compressing properties, network realizations can be used to embed the data back into the state space of the underlying continuum problems. In more recent works of the authors Krein's ideas gave rise to so-called nite-dierence Gaussian quadrature rules (FDGQR), allowing to approximately map the ROM state-space representation to its full order continuum counterpart on a judicially chosen grid. Thus, the state variables can be accessed directly from the transfer function without solving the full problem and even explicit knowledge of the PDE coe cients in the interior, i.e., the FDGQR directly learns" the problem from its transfer function. This embedding property found applications in PDE solvers, inverse problems and unsupervised machine learning. Here we show a generalization of this approach to dissipative PDE problems, e.g., electromagnetic and acoustic wave propagation in lossy dispersive media. Potential applications include solution of inverse scattering problems in dispersive media, such as seismic exploration, radars and sonars. To x the idea, we consider a passive irreducible SISO ROM fn(s) = Xn j=1 yi s + σj , (62) assuming that all complex terms in (62) come in conjugate pairs. We will seek ladder realization of (62) as rjuj + vj − vj−1 = −shˆjuj , uj+1 − uj + ˆrj vj = −shj vj , (63) for j = 0, . . . , n with boundary conditions un+1 = 0, v1 = −1, and 4n real parameters hi, hˆi, ri and rˆi, i = 1, . . . , n, that can be considered, respectively, as the equivalent discrete inductances, capacitors and also primary and dual conductors. Alternatively, they can be viewed as respectively masses, spring stiness, primary and dual dampers of a mechanical string. Reordering variables would bring (63) into tridiagonal form, so from the spectral measure given by (62 ) the coe cients of (63) can be obtained via a non-symmetric Lanczos algorithm written in J-symmetric form and fn(s) can be equivalently computed as fn(s) = u1. The cases considered in the original FDGQR correspond to either (i) real y, θ or (ii) real y and imaginary θ. Both cases are covered by the Stieltjes theorem, that yields in case (i) real positive h, hˆ and trivial r, rˆ, and in case (ii) real positive h,r and trivial hˆ,rˆ. This result allowed us a simple interpretation of (62) as the staggered nite-dierence approximation of the underlying PDE problem [2]. For PDEs in more than one variables (including topologically rich data-manifolds), a nite-dierence interpretation is obtained via a MIMO extensions in block form, e.g., [4, 3]. The main di culty of extending this approach to general passive problems is that the Stieltjes theory is no longer applicable. Moreover, the tridiagonal realization of a passive ROM transfer function (62) via the ladder network (63) cannot always be obtained in port-Hamiltonian form, i.e., the equivalent primary and dual conductors may change sign [1]. 100 Embedding of the Stieltjes problems, e.g., the case (i) was done by mapping h and hˆ into values of acoustic (or electromagnetic) impedance at grid cells, that required a special coordinate stretching (known as travel time coordinate transform) for continuous problems. Likewise, to circumvent possible non-positivity of conductors for the non-Stieltjes case, we introduce an additional complex s-dependent coordinate stretching, vanishing as s → ∞ [1]. This stretching applied in the discrete setting induces a diagonal factorization, removes oscillating coe cients, and leads to an accurate embedding for moderate variations of the coe cients of the continuum problems, i.e., it maps discrete coe cients onto the values of their continuum counterparts. Not only does this embedding yields an approximate linear algebraic algorithm for the solution of the inverse problems for dissipative PDEs, it also leads to new insight into the properties of their ROM realizations. We will also discuss another approach to embedding, based on Krein-Nudelman theory [5], that results in special data-driven adaptive grids. References [1] Borcea, Liliana and Druskin, Vladimir and Zimmerling, Jörn, A reduced order model approach to inverse scattering in lossy layered media, Journal of Scienti c Computing, V. 89, N1, pp. 136,2021 [2] Druskin, Vladimir and Knizhnerman, Leonid, Gaussian spectral rules for the three-point second dierences: I. A two-point positive de nite problem in a semi-in nite domain, SIAM Journal on Numerical Analysis, V. 37, N 2, pp.403422, 1999 [3] Druskin, Vladimir and Mamonov, Alexander V and Zaslavsky, Mikhail, Distance preserving model order reduction of graph-Laplacians and cluster analysis, Druskin, Vladimir and Mamonov, Alexander V and Zaslavsky, Mikhail, Journal of Scienti c Computing, V. 90, N 1, pp 130, 2022 [4] Druskin, Vladimir and Moskow, Shari and Zaslavsky, Mikhail LippmannSchwingerLanczos algorithm for inverse scattering problems, Inverse Problems, V. 37, N. 7, 2021, [5] Mark Adolfovich Nudelman The Krein String and Characteristic Functions of Maximal Dissipative Operators, Journal of Mathematical Sciences, 2004, V 124, pp 49184934 Go back to Plenary Speakers Go back to Speakers Go backmore » « less
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BACKGROUND Optical sensing devices measure the rich physical properties of an incident light beam, such as its power, polarization state, spectrum, and intensity distribution. Most conventional sensors, such as power meters, polarimeters, spectrometers, and cameras, are monofunctional and bulky. For example, classical Fourier-transform infrared spectrometers and polarimeters, which characterize the optical spectrum in the infrared and the polarization state of light, respectively, can occupy a considerable portion of an optical table. Over the past decade, the development of integrated sensing solutions by using miniaturized devices together with advanced machine-learning algorithms has accelerated rapidly, and optical sensing research has evolved into a highly interdisciplinary field that encompasses devices and materials engineering, condensed matter physics, and machine learning. To this end, future optical sensing technologies will benefit from innovations in device architecture, discoveries of new quantum materials, demonstrations of previously uncharacterized optical and optoelectronic phenomena, and rapid advances in the development of tailored machine-learning algorithms. ADVANCES Recently, a number of sensing and imaging demonstrations have emerged that differ substantially from conventional sensing schemes in the way that optical information is detected. A typical example is computational spectroscopy. In this new paradigm, a compact spectrometer first collectively captures the comprehensive spectral information of an incident light beam using multiple elements or a single element under different operational states and generates a high-dimensional photoresponse vector. An advanced algorithm then interprets the vector to achieve reconstruction of the spectrum. This scheme shifts the physical complexity of conventional grating- or interference-based spectrometers to computation. Moreover, many of the recent developments go well beyond optical spectroscopy, and we discuss them within a common framework, dubbed “geometric deep optical sensing.” The term “geometric” is intended to emphasize that in this sensing scheme, the physical properties of an unknown light beam and the corresponding photoresponses can be regarded as points in two respective high-dimensional vector spaces and that the sensing process can be considered to be a mapping from one vector space to the other. The mapping can be linear, nonlinear, or highly entangled; for the latter two cases, deep artificial neural networks represent a natural choice for the encoding and/or decoding processes, from which the term “deep” is derived. In addition to this classical geometric view, the quantum geometry of Bloch electrons in Hilbert space, such as Berry curvature and quantum metrics, is essential for the determination of the polarization-dependent photoresponses in some optical sensors. In this Review, we first present a general perspective of this sensing scheme from the viewpoint of information theory, in which the photoresponse measurement and the extraction of light properties are deemed as information-encoding and -decoding processes, respectively. We then discuss demonstrations in which a reconfigurable sensor (or an array thereof), enabled by device reconfigurability and the implementation of neural networks, can detect the power, polarization state, wavelength, and spatial features of an incident light beam. OUTLOOK As increasingly more computing resources become available, optical sensing is becoming more computational, with device reconfigurability playing a key role. On the one hand, advanced algorithms, including deep neural networks, will enable effective decoding of high-dimensional photoresponse vectors, which reduces the physical complexity of sensors. Therefore, it will be important to integrate memory cells near or within sensors to enable efficient processing and interpretation of a large amount of photoresponse data. On the other hand, analog computation based on neural networks can be performed with an array of reconfigurable devices, which enables direct multiplexing of sensing and computing functions. We anticipate that these two directions will become the engineering frontier of future deep sensing research. On the scientific frontier, exploring quantum geometric and topological properties of new quantum materials in both linear and nonlinear light-matter interactions will enrich the information-encoding pathways for deep optical sensing. In addition, deep sensing schemes will continue to benefit from the latest developments in machine learning. Future highly compact, multifunctional, reconfigurable, and intelligent sensors and imagers will find applications in medical imaging, environmental monitoring, infrared astronomy, and many other areas of our daily lives, especially in the mobile domain and the internet of things. Schematic of deep optical sensing. The n -dimensional unknown information ( w ) is encoded into an m -dimensional photoresponse vector ( x ) by a reconfigurable sensor (or an array thereof), from which w′ is reconstructed by a trained neural network ( n ′ = n and w′ ≈ w ). Alternatively, x may be directly deciphered to capture certain properties of w . Here, w , x , and w′ can be regarded as points in their respective high-dimensional vector spaces ℛ n , ℛ m , and ℛ n ′ .more » « less
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We develop a new computational framework to solve the partial differential equations (PDEs) governing the flow of the joint probability density functions (PDFs) in continuous-time stochastic nonlinear systems. The need for computing the transient joint PDFs subject to prior dynamics arises in uncertainty propagation, nonlinear filtering and stochastic control. Our methodology breaks away from the traditional approach of spatial discretization or function approximation – both of which, in general, suffer from the “curse-of-dimensionality”. In the proposed framework, we discretize time but not the state space. We solve infinite dimensional proximal recursions in the manifold of joint PDFs, which in the small time-step limit, is theoretically equivalent to solving the underlying transport PDEs. The resulting computation has the geometric interpretation of gradient flow of certain free energy functional with respect to the Wasserstein metric arising from the theory of optimal mass transport. We show that dualization along with an entropic regularization, leads to a cone-preserving fixed point recursion that is proved to be contractive in Thompson metric. A block co-ordinate iteration scheme is proposed to solve the resulting nonlinear recursions with guaranteed convergence. This approach enables remarkably fast computation for non-parametric transient joint PDF propagation. Numerical examples and various extensions are provided to illustrate the scope and efficacy of the proposed approach.more » « less
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null (Ed.)Koopman decomposition is a nonlinear generalization of eigen-decomposition, and is being increasingly utilized in the analysis of spatio-temporal dynamics. Well-known techniques such as the dynamic mode decomposition (DMD) and its linear variants provide approximations to the Koopman operator, and have been applied extensively in many fluid dynamic problems. Despite being endowed with a richer dictionary of nonlinear observables, nonlinear variants of the DMD, such as extended/kernel dynamic mode decomposition (EDMD/KDMD) are seldom applied to large-scale problems primarily due to the difficulty of discerning the Koopman-invariant subspace from thousands of resulting Koopman eigenmodes. To address this issue, we propose a framework based on a multi-task feature learning to extract the most informative Koopman-invariant subspace by removing redundant and spurious Koopman triplets. In particular, we develop a pruning procedure that penalizes departure from linear evolution. These algorithms can be viewed as sparsity-promoting extensions of EDMD/KDMD. Furthermore, we extend KDMD to a continuous-time setting and show a relationship between the present algorithm, sparsity-promoting DMD and an empirical criterion from the viewpoint of non-convex optimization. The effectiveness of our algorithm is demonstrated on examples ranging from simple dynamical systems to two-dimensional cylinder wake flows at different Reynolds numbers and a three-dimensional turbulent ship-airwake flow. The latter two problems are designed such that very strong nonlinear transients are present, thus requiring an accurate approximation of the Koopman operator. Underlying physical mechanisms are analysed, with an emphasis on characterizing transient dynamics. The results are compared with existing theoretical expositions and numerical approximations.more » « less
