On the Convergence of Hermitian Dynamic Mode Decomposition

Code

• github.com/NBoulle/ConvergenceHermitianDMD
  OfficialIn papernone★ 2

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. 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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