We derive a data-driven method for the approximation of the Koopman generator called gEDMD, which can be regarded as a straightforward extension of EDMD (extended dynamic mode decomposition). This approach is applicable to deterministic and stochastic dynamical systems. It can be used for computing eigenvalues, eigenfunctions, and modes of the generator and for system identification. In addition to learning the governing equations of deterministic systems, which then reduces to SINDy (sparse identification of nonlinear dynamics), it is possible to identify the drift and diffusion terms of stochastic differential equations from data. Moreover, we apply gEDMD to derive coarse-grained models of high-dimensional systems, and also to determine efficient model predictive control strategies. We highlight relationships with other methods and demonstrate the efficacy of the proposed methods using several guiding examples and prototypical molecular dynamics problems.
arXiv:1909.10638v1 [math.DS] 23 Sep 2019Most of the aforementioned techniques turn out to be strongly related, with the unifying concept being Koopman operator theory [16,17,18]. In what follows, we will focus mainly on the generator of the Koopman operator and its properties and applications. SINDy [5] constitutes a milestone for data-driven discovery of dynamical systems. Because of the close relationship between the vector field of a deterministic dynamical system and its Koopman generator, SINDy is a special case of the framework we will introduce in this study. In [19,20], the authors presented an extension of SINDy to determine eigenfunctions of the Koopman generator. The discovered eigenfunctions are then used for control, resulting in the so-called KRONIC framework. Another extension of SINDy was derived in [21], allowing for the identification of parameters of a stochastic system using Kramers-Moyal formulae.A different avenue towards system identification was taken in [22,23]. Here, the Koopman operator is first approximated with the aid of EDMD, and then its generator is determined using the matrix logarithm. Subsequently, the right-hand side of the differential equation is extracted from the matrix representation of the generator. The relationship between the Koopman operator and its generator was also exploited in [24] for parameter estimation of stochastic differential equations.A method for computing eigenfunctions of the Koopman generator was proposed in [25], where the diffusion maps algorithm is used to set up a Galerkin-projected eigenvalue problem with orthogonal basis elements. Two efficient methods for computing the generator of the adjoint Perron-Frobenius operator based on Ulam's method and spectral collocation were presented in [26]. Provided that a model of the system dynamics is available, the computation of trajectories can be replaced by evaluations of the right-hand side of the system, which is often orders of magnitude faster.The purpose of this study is to present a general framework to compute a matrix approximation of the Koop...