Subspace Dynamic Mode Decomposition for Stochastic Koopman Analysis

Implementation of Subspace dynamic mode decomposition (Subspace DMD) by authors of the Phys. Rev. E paper (see below).

Prerequisites

• MATLAB 2015a or later

Demo Script

Run demo.m for a simple demonstration of Subspace DMD

Author

• Naoya Takeishi - https://ntake.jp/

Reference

Naoya Takeishi, Yoshinobu Kawahara, and Takehisa Yairi, "Subspace Dynamic Mode Decomposition for Stochastic Koopman Analysis," in Physical Review E, 96(3):033310, 2017.

https://doi.org/10.1103/PhysRevE.96.033310

Sorry for that there is a typo in the main algorithm (Algorithm 2) in PhysRev E paper; arXiv version (v4 and newer) is fixed.

arXiv version: https://arxiv.org/abs/1705.04908

License

This project is licensed under the MIT License - see the LICENSE.txt file for details