Consistent Dynamic Mode Decomposition

We propose a new method for computing Dynamic Mode Decomposition (DMD) evolution matrices, which we use to analyze dynamical systems. Unlike the majority of existing methods, our approach is based on a variational formulation consisting of data alignment penalty terms and constitutive orthogonality constraints. Our method does not make any assumptions on the structure of the data or their size, and thus it is applicable to a wide range of problems including non-linear scenarios or extremely small observation sets. In addition, our technique is robust to noise that is independent of the dynamics and it does not require input data to be sequential. Our key idea is to introduce a regularization term for the forward and backward dynamics. The obtained minimization problem is solved efficiently using the Alternating Method of Multipliers (ADMM) which requires two Sylvester equation solves per iteration. Our numerical scheme converges empirically and is similar to a provably convergent ADMM scheme. We compare our approach to various state-of-the-art methods on several benchmark dynamical systems

Toward a unified interpretation of the “proper”/“smooth” orthogonal decompositions and “state variable”/“dynamic mode” decompositions with application to fluid dynamics

A common interpretation is presented for four powerful modal decomposition techniques: “proper orthogonal decomposition,” “smooth orthogonal decomposition,” “state-variable decomposition,” and “dynamic mode decomposition.” It is shown that, in certain cases, each technique can be interpreted as an optimization problem and similarities between methods are highlighted. By interpreting each technique as an optimization problem, significant insight is gained toward the physical properties of the identified modes. This insight is strengthened by being consistent with cross-multiple decomposition techniques. To illustrate this, an inter-method comparison of synthetic hypersonic boundary layer stability data is presented