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Data-driven spectral analysis of the Koopman operator. (arXiv:1710.06532v1 [math.DS])
来源于:arXiv
Starting from measured data, we develop a method to compute the fine
structure of the spectrum of the Koopman operator with rigorous convergence
guarantees. The method is based on the observation that, in the
measure-preserving ergodic setting, the moments of the spectral measure
associated to a given observable are computable from a single trajectory of
this observable. Having finitely many moments available, we use the classical
Christoffel-Darboux kernel to separate the atomic and absolutely continuous
parts of the spectrum, supported by convergence guarantees as the number of
moments tends to infinity. In addition, we propose a technique to detect the
singular continuous part of the spectrum as well as two methods to approximate
the spectral measure with guaranteed convergence in the weak topology,
irrespective of whether the singular continuous part is present or not. The
proposed method is simple to implement and readily applicable to large-scale
systems since the computational c 查看全文>>