Data-driven spectral analysis of the Koopman operator

Understand

Starting from measured data, we develop a method to compute the fine structure of the spectrum of the Koopman operator with rigorous convergence guarantees.

• The method is based on the observation that, in the measure-preserving ergodic setting, the moments of the spectral measure associated to a given observable are computable from a single trajectory of this observable.
• Having finitely many moments available, we use the classical Christoffel-Darboux kernel to separate the atomic and absolutely continuous parts of the spectrum, supported by convergence guarantees as the number of moments tends to infinity.
• In addition, we propose a technique to detect the singular continuous part of the spectrum as well as two methods to approximate the spectral measure with guaranteed convergence in the weak topology, irrespective of whether the singular continuous part is present or not.