Identification of linear time-invariant systems with Dynamic Mode Decomposition

09/14/2021

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by   Jan Heiland, et al.

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Dynamic mode decomposition (DMD) is a popular data-driven framework to extract linear dynamics from complex high-dimensional systems. In this work, we study the system identification properties of DMD. We first show that DMD is invariant under linear transformations in the image of the data matrix. If, in addition, the data is constructed from a linear time-invariant system, then we prove that DMD can recover the original dynamics under mild conditions. If the linear dynamics are discretized with a Runge-Kutta method, then we further classify the error of the DMD approximation and detail that for one-stage Runge-Kutta methods even the continuous dynamics can be recovered with DMD. A numerical example illustrates the theoretical findings.