On the Convergence of Hermitian Dynamic Mode Decomposition

Nicolas Boullé; Matthew J. Colbrook

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arXiv · 2401.03192

On the Convergence of Hermitian Dynamic Mode Decomposition

Nicolas Boullé·Matthew J. Colbrook

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Abstract

We study the convergence of Hermitian Dynamic Mode Decomposition (DMD) to the spectral properties of self-adjoint Koopman operators. Hermitian DMD is a data-driven method that approximates the Koopman operator associated with an unknown nonlinear dynamical system, using discrete-time snapshots. This approach preserves the self-adjointness of the operator in its finite-dimensional approximations. \rev{We prove that, under suitably broad conditions, the spectral measures corresponding to the eigenvalues and eigenfunctions computed by Hermitian DMD converge to those of the underlying Koopman operator}. This result also applies to skew-Hermitian systems (after multiplication by $i$), applicable to generators of continuous-time measure-preserving systems. Along the way, we establish a general theorem on the convergence of spectral measures for finite sections of self-adjoint operators, including those that are unbounded, which is of independent interest to the wider spectral community. We numerically demonstrate our results by applying them to two-dimensional Schr\"odinger equations.

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Nicolas Boullé, Matthew J. Colbrook. 2024-01-06. On the Convergence of Hermitian Dynamic Mode Decomposition. https://arxiv.org/abs/2401.03192

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