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).
- MATLAB 2015a or later
demo.m for a simple demonstration of Subspace DMD
- Naoya Takeishi - http://www.naoyatakeishi.com/
Naoya Takeishi, Yoshinobu Kawahara, and Takehisa Yairi, "Subspace Dynamic Mode Decomposition for Stochastic Koopman Analysis," in Physical Review E, 96(3):033310, 2017.
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
This project is licensed under the MIT License - see the LICENSE.txt file for details