Randomized Dynamic Mode Decomposition

This paper presents a randomized algorithm for computing the near-optimal low-rank dynamic mode decomposition (DMD). Randomized algorithms are emerging techniques to compute low-rank matrix approximations at a fraction of the cost of deterministic algorithms, easing the computational challenges arising in the area of `big data'. The idea is to derive a small matrix from the high-dimensional data, which is then used to efficiently compute the dynamic modes and eigenvalues. The algorithm is presented in a modular probabilistic framework, and the approximation quality can be controlled via oversampling and power iterations. The effectiveness of the resulting randomized DMD algorithm is demonstrated on several benchmark examples of increasing complexity, providing an accurate and efficient approach to extract spatiotemporal coherent structures from big data in a framework that scales with the intrinsic rank of the data, rather than the ambient measurement dimension. For this work we assume that the dynamics of the problem under consideration is evolving on a low-dimensional subspace that is well characterized by a fast decaying singular value spectrum

Spectral proper orthogonal decomposition

The identification of coherent structures from experimental or numerical data is an essential task when conducting research in fluid dynamics. This typically involves the construction of an empirical mode base that appropriately captures the dominant flow structures. The most prominent candidates are the energy-ranked proper orthogonal decomposition (POD) and the frequency ranked Fourier decomposition and dynamic mode decomposition (DMD). However, these methods fail when the relevant coherent structures occur at low energies or at multiple frequencies, which is often the case. To overcome the deficit of these "rigid" approaches, we propose a new method termed Spectral Proper Orthogonal Decomposition (SPOD). It is based on classical POD and it can be applied to spatially and temporally resolved data. The new method involves an additional temporal constraint that enables a clear separation of phenomena that occur at multiple frequencies and energies. SPOD allows for a continuous shifting from the energetically optimal POD to the spectrally pure Fourier decomposition by changing a single parameter. In this article, SPOD is motivated from phenomenological considerations of the POD autocorrelation matrix and justified from dynamical system theory. The new method is further applied to three sets of PIV measurements of flows from very different engineering problems. We consider the flow of a swirl-stabilized combustor, the wake of an airfoil with a Gurney flap, and the flow field of the sweeping jet behind a fluidic oscillator. For these examples, the commonly used methods fail to assign the relevant coherent structures to single modes. The SPOD, however, achieves a proper separation of spatially and temporally coherent structures, which are either hidden in stochastic turbulent fluctuations or spread over a wide frequency range

A decentralized linear quadratic control design method for flexible structures

A decentralized suboptimal linear quadratic control design procedure which combines substructural synthesis, model reduction, decentralized control design, subcontroller synthesis, and controller reduction is proposed for the design of reduced-order controllers for flexible structures. The procedure starts with a definition of the continuum structure to be controlled. An evaluation model of finite dimension is obtained by the finite element method. Then, the finite element model is decomposed into several substructures by using a natural decomposition called substructuring decomposition. Each substructure, at this point, still has too large a dimension and must be reduced to a size that is Riccati-solvable. Model reduction of each substructure can be performed by using any existing model reduction method, e.g., modal truncation, balanced reduction, Krylov model reduction, or mixed-mode method. Then, based on the reduced substructure model, a subcontroller is designed by an LQ optimal control method for each substructure independently. After all subcontrollers are designed, a controller synthesis method called substructural controller synthesis is employed to synthesize all subcontrollers into a global controller. The assembling scheme used is the same as that employed for the structure matrices. Finally, a controller reduction scheme, called the equivalent impulse response energy controller (EIREC) reduction algorithm, is used to reduce the global controller to a reasonable size for implementation. The EIREC reduced controller preserves the impulse response energy of the full-order controller and has the property of matching low-frequency moments and low-frequency power moments. An advantage of the substructural controller synthesis method is that it relieves the computational burden associated with dimensionality. Besides that, the SCS design scheme is also a highly adaptable controller synthesis method for structures with varying configuration, or varying mass and stiffness properties

The geometry of low-rank Kalman filters

An important property of the Kalman filter is that the underlying Riccati flow is a contraction for the natural metric of the cone of symmetric positive definite matrices. The present paper studies the geometry of a low-rank version of the Kalman filter. The underlying Riccati flow evolves on the manifold of fixed rank symmetric positive semidefinite matrices. Contraction properties of the low-rank flow are studied by means of a suitable metric recently introduced by the authors.Comment: Final version published in Matrix Information Geometry, pp53-68, Springer Verlag, 201