Towards tensor-based methods for the numerical approximation of the Perron--Frobenius and Koopman operator

Stefan  Klus; Christof  Schütte

doi:10.3934/jcd.2016007

Article Contents

2016, Volume 3, Issue 2: 139-161. Doi: 10.3934/jcd.2016007

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Towards tensor-based methods for the numerical approximation of the Perron--Frobenius and Koopman operator

Stefan Klus^1, and
Christof Schütte^1,

1.
Department of Mathematics and Computer Science, Freie Universität Berlin

Received: November 2015

Revised: August 2016

Published: June 2016

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Abstract

The global behavior of dynamical systems can be studied by analyzing the eigenvalues and corresponding eigenfunctions of linear operators associated with the system. Two important operators which are frequently used to gain insight into the system's behavior are the Perron--Frobenius operator and the Koopman operator. Due to the curse of dimensionality, computing the eigenfunctions of high-dimensional systems is in general infeasible. We will propose a tensor-based reformulation of two numerical methods for computing finite-dimensional approximations of the aforementioned infinite-dimensional operators, namely Ulam's method and Extended Dynamic Mode Decomposition (EDMD). The aim of the tensor formulation is to approximate the eigenfunctions by low-rank tensors, potentially resulting in a significant reduction of the time and memory required to solve the resulting eigenvalue problems, provided that such a low-rank tensor decomposition exists. Typically, not all variables of a high-dimensional dynamical system contribute equally to the system's behavior, often the dynamics can be decomposed into slow and fast processes, which is also reflected in the eigenfunctions. Thus, the weak coupling between different variables might be approximated by low-rank tensor cores. We will illustrate the efficiency of the tensor-based formulation of Ulam's method and EDMD using simple stochastic differential equations.

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Mathematics Subject Classification: Primary: 37N25, 37L65, 15A69.

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