Bridging Koopman Operator and time-series auto-correlation based Hilbert-Schmidt operator
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arXiv
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| Formato: | Preprint |
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2022
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| _version_ | 1866908974433959936 |
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| author | Zhen, Yicun Chapron, Bertrand Mémin, Etienne |
| author_facet | Zhen, Yicun Chapron, Bertrand Mémin, Etienne |
| contents | Given a stationary continuous-time process $f(t)$, the Hilbert-Schmidt operator $A_τ$ can be defined for every finite $τ$\cite{Vautard1989SingularSA}. Let $λ_{τ,i}$ be the eigenvalues of $A_τ$ with descending order. In this article, a Hilbert space $\mathcal{H}_f$ and the (time-shift) continuous one-parameter semigroup of isometries $\mathcal{K}^s$ are defined. Let $\{v_i, i\in\mathbb{N}\}$ be the eigenvectors of $\mathcal{K}^s$ for all $s\geq 0$. Let $f = \displaystyle\sum_{i=1}^{\infty}a_iv_i + f^{\perp}$ be the orthogonal decomposition with descending $|a_i|$. We prove that $\displaystyle\lim_{τ\to\infty}λ_{τ,i} = |a_i|^2$. The continuous one-parameter semigroup $\{\mathcal{K}^s: s\geq 0\}$ is equivalent, almost surely, to the classical Koopman one-parameter semigroup defined on $L^2(X,ν)$, if the dynamical system is ergodic and has invariant measure $ν$ on the phase space $X$. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2202_08755 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Bridging Koopman Operator and time-series auto-correlation based Hilbert-Schmidt operator Zhen, Yicun Chapron, Bertrand Mémin, Etienne Optimization and Control Given a stationary continuous-time process $f(t)$, the Hilbert-Schmidt operator $A_τ$ can be defined for every finite $τ$\cite{Vautard1989SingularSA}. Let $λ_{τ,i}$ be the eigenvalues of $A_τ$ with descending order. In this article, a Hilbert space $\mathcal{H}_f$ and the (time-shift) continuous one-parameter semigroup of isometries $\mathcal{K}^s$ are defined. Let $\{v_i, i\in\mathbb{N}\}$ be the eigenvectors of $\mathcal{K}^s$ for all $s\geq 0$. Let $f = \displaystyle\sum_{i=1}^{\infty}a_iv_i + f^{\perp}$ be the orthogonal decomposition with descending $|a_i|$. We prove that $\displaystyle\lim_{τ\to\infty}λ_{τ,i} = |a_i|^2$. The continuous one-parameter semigroup $\{\mathcal{K}^s: s\geq 0\}$ is equivalent, almost surely, to the classical Koopman one-parameter semigroup defined on $L^2(X,ν)$, if the dynamical system is ergodic and has invariant measure $ν$ on the phase space $X$. |
| title | Bridging Koopman Operator and time-series auto-correlation based Hilbert-Schmidt operator |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2202.08755 |