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Dynamic mode decomposition : ウィキペディア英語版
Dynamic mode decomposition

Physical systems, such as fluid flow or mechanical vibrations, behave in characteristic patterns, known as modes. In a recirculating flow, for example, one may think of a hierarchy of vortices, a big main vortex driving smaller secondary ones and so on. Most of the motion of such a system can be faithfully described using only a few of those patterns. The dynamic mode decomposition (DMD) provides a means of extracting these modes from numerical and experimental pairs of time-shifted snapshots. Each of the modes identified by DMD is associated with a fixed oscillation frequency and growth/decay rate, determined by DMD without requiring knowledge of the governing equations. This is to be contrasted with methods, such as the proper orthogonal decomposition, which produce a set of modes without the associated temporal information.
== Description ==
A time-evolving physical situation may be approximated by the action of a linear operator e^ to the instantaneous state vector.
: \approx e^ q(t)
The dynamic mode decomposition strives to approximate the evolution operator \tilde A := e^ from a known sequence of observations, V_=\.
Thus, we ask the following matrix equation to hold:
:
V_=\tilde A V_

Generally, the vectors \, and subsequently \tilde A, are very-high-dimensional, and so a strict eigendecomposition of \tilde A is computationally difficult. However, in DMD it is assumed that the set of \ does not span the entire vector space (a good assumption, especially if there is spatial structure in the signal). Thus, after a given time n, where n is much less than the dimensionality of the system, one can write q_ as a linear combination of the previous vectors, i.e., q_ = c_0q_0 + \cdots + c_nq_n =\c. In matrix form, we then have:
:
V_= V_ S

where ''S'' is the companion matrix
:S=\begin
0 & 0 & \dots & 0 & c_0 \\
1 & 0 & \dots & 0 & c_1 \\
0 & 1 & \dots & 0 & c_2 \\
\vdots & \vdots & \ddots & \vdots & \vdots \\
0 & 0 & \dots & 1 & c_n
\end.
The eigenvalues of ''S'' then approximate some of the eigenvalues of \tilde A. However, since the ''S'' is small (with dimensions (''n'' + 1) × (''n'' + 1) as compared to \tilde A), the eigenvalues and eigenvectors of ''S'' can be computed with ease.〔Schmid, Peter J. "Dynamic mode decomposition of numerical and experimental data." Journal of Fluid Mechanics 656.1 (2010): 5–28.〕

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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