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Information about the behavior of dynamical systems can often be obtained by analyzing the eigenvalues and corresponding eigenfunctions of linear operators associated with a dynamical system. Examples of such operators are the Perron-Frobenius and the Koopman operator. In this paper, we will review different methods that have been developed over the last decades to compute infinite-dimensional approximations of these infinite-dimensional operators - in particular Ulam's method and Extended Dynamic Mode Decomposition (EDMD) - and highlight the similarities and differences between these approaches. The results will be illustrated using simple stochastic differential equations and molecular dynamics examples.
Transfer operators such as the Perron-Frobenius or Koopman operator play an important role in the global analysis of complex dynamical systems. The eigenfunctions of these operators can be used to detect metastable sets, to project the dynamics onto the dominant slow processes, or to separate superimposed signals. We extend transfer operator theory to reproducing kernel Hilbert spaces and show that these operators are related to Hilbert space representations of conditional distributions, known as conditional mean embeddings in the machine learning community. Moreover, numerical methods to compute empirical estimates of these embeddings are akin to data-driven methods for the approximation of transfer operators such as extended dynamic mode decomposition and its variants. In fact, most of the existing methods can be derived from our framework, providing a unifying view on the approximation of transfer operators. One main benefit of the presented kernel-based approaches is that these methods can be applied to any domain where a similarity measure given by a kernel is available. We illustrate the results with the aid of guiding examples and highlight potential applications in molecular dynamics as well as video and text data analysis.
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.
More and more diseases have been found to be strongly correlated with disturbances in the microbiome constitution, e.g., obesity, diabetes, or some cancer types. Thanks to modern high-throughput omics technologies, it becomes possible to directly analyze human microbiome and its influence on the health status. Microbial communities are monitored over long periods of time and the associations between their members are explored. These relationships can be described by a time-evolving graph. In order to understand responses of the microbial community members to a distinct range of perturbations such as antibiotics exposure or diseases and general dynamical properties, the time-evolving graph of the human microbial communities has to be analyzed. This becomes especially challenging due to dozens of complex interactions among microbes and metastable dynamics. The key to solving this problem is the representation of the time-evolving graphs as fixed-length feature vectors preserving the original dynamics. We propose a method for learning the embedding of the time-evolving graph that is based on the spectral analysis of transfer operators and graph kernels. We demonstrate that our method can capture temporary changes in the time-evolving graph on both synthetic data and real-world data. Our experiments demonstrate the efficacy of the method. Furthermore, we show that our method can be applied to human microbiome data to study dynamic processes.
We consider autocovariance operators of a stationary stochastic process on a Polish space that is embedded into a reproducing kernel Hilbert space. We investigate how empirical estimates of these operators converge along realizations of the process under various conditions. In particular, we examine ergodic and strongly mixing processes and obtain several asymptotic results as well as finite sample error bounds. We provide applications of our theory in terms of consistency results for kernel PCA with dependent data and the conditional mean embedding of transition probabilities. Finally, we use our approach to examine the nonparametric estimation of Markov transition operators and highlight how our theory can give a consistency analysis for a large family of spectral analysis methods including kernel-based dynamic mode decomposition.
Agent-based models (ABMs) provide an intuitive and powerful framework for studying social dynamics by modeling the interactions of individuals from the perspective of each individual. In addition to simulating and forecasting the dynamics of ABMs, the demand to solve optimization problems to support, for example, decision-making processes naturally arises. Most ABMs, however, are non-deterministic, high-dimensional dynamical systems, so objectives defined in terms of their behavior are computationally expensive. In particular, if the number of agents is large, evaluating the objective functions often becomes prohibitively time-consuming. We consider data-driven reduced models based on the Koopman generator to enable the efficient solution of multi-objective optimization problems involving ABMs. In a first step, we show how to obtain data-driven reduced models of non-deterministic dynamical systems (such as ABMs) that depend on potentially nonlinear control inputs. We then use them in the second step as surrogate models to solve multi-objective optimal control problems. We first illustrate our approach using the example of a voter model, where we compute optimal controls to steer the agents to a predetermined majority, and then using the example of an epidemic ABM, where we compute optimal containment strategies in a prototypical situation. We demonstrate that the surrogate models effectively approximate the Pareto-optimal points of the ABM dynamics by comparing the surrogate-based results with test points, where the objectives are evaluated using the ABM. Our results show that when objectives are defined by the dynamic behavior of ABMs, data-driven surrogate models support or even enable the solution of multi-objective optimization problems.
The dynamical behavior of social systems can be described by agent-based models. Although single agents follow easily explainable rules, complex time-evolving patterns emerge due to their interaction. The simulation and analysis of such agent-based models, however, is often prohibitively time-consuming if the number of agents is large. In this paper, we show how Koopman operator theory can be used to derive reduced models of agent-based systems using only simulation or real-world data. Our goal is to learn coarse-grained models and to represent the reduced dynamics by ordinary or stochastic differential equations. The new variables are, for instance, aggregated state variables of the agent-based model, modeling the collective behavior of larger groups or the entire population. Using benchmark problems with known coarse-grained models, we demonstrate that the obtained reduced systems are in good agreement with the analytical results, provided that the numbers of agents is sufficiently large.