Sparsity-promoting algorithms for the discovery of informative Koopman invariant subspaces

Koopman decomposition is a non-linear generalization of eigen decomposition, and is being increasingly utilized in the analysis of spatio-temporal dynamics. Well-known techniques such as the dynamic mode decomposition (DMD) and its variants provide approximations to the Koopman operator, and have been applied extensively in many fluid dynamic problems. Despite being endowed with a richer dictionary of nonlinear observables, nonlinear variants of the DMD, such as extended/kernel dynamic mode decomposition (EDMD/KDMD) are seldom applied to large-scale problems primarily due to the difficulty of discerning the Koopman invariant subspace from thousands of resulting Koopman triplets: eigenvalues, eigenvectors, and modes. To address this issue, we revisit the formulation of EDMD and KDMD, and propose an algorithm based on multi-task feature learning to extract the most informative Koopman invariant subspace by removing redundant and spurious Koopman triplets. These algorithms can be viewed as sparsity promoting extensions of EDMD/KDMD and are presented in an open-source package. Further, we extend KDMD to a continuous-time setting and show a relationship between the present algorithm, sparsity-promoting DMD and an empirical criterion from the viewpoint of non-convex optimization. The effectiveness of our algorithm is demonstrated on examples ranging from simple dynamical systems to two-dimensional cylinder wake flows at different Reynolds numbers and a three-dimensional turbulent ship air-wake flow. The latter two problems are designed such that very strong transients are present in the flow evolution, thus requiring accurate representation of decaying modes.