Kernel Embedding Based Variational Approach for Low-Dimensional Approximation of Dynamical Systems

Wenchong Tian, Hao Wu

Abstract: Transfer operators such as Perron–Frobenius and Koopman operator play a key role in modeling and analysis of complex dynamical systems, which allow linear representations of nonlinear dynamics by transforming the original state variables to feature spaces. However, it remains challenging to identify the optimal low-dimensional feature mappings from data. The variational approach for Markov processes (VAMP) provides a comprehensive framework for the evaluation and optimization of feature mappings based on the variational estimation of modeling errors, but it still suffers from a flawed assumption on the transfer operator and therefore sometimes fails to capture the essential structure of system dynamics. In this paper, we develop a powerful alternative to VAMP, called kernel embedding based variational approach for dynamical systems (KVAD). By using the distance measure of functions in the kernel embedding space, KVAD effectively overcomes theoretical and practical limitations of VAMP. In addition, we develop a data-driven KVAD algorithm for seeking the ideal feature mapping within a subspace spanned by given basis functions, and numerical experiments show that the proposed algorithm can significantly improve the modeling accuracy compared to VAMP.