Dynamic mode decomposition methods are highly sensitive to mild nonlinearities and slight non-normality, which can cause large errors in eigenvalue estimation and poor predictive ability in computational modeling.
Dynamic mode decomposition (DMD) is a powerful tool for extracting spatial and temporal patterns from multi-dimensional time series, and it has been used successfully in a wide range of fields, including fluid mechanics, robotics and neuroscience. Two of the main challenges remaining in DMD research are noise sensitivity and issues related to Krylov space closure when modelling nonlinear systems. Here, we investigate the combination of noise and nonlinearity in a controlled setting, by studying a class of systems with linear latent dynamics which are observed via multinomial observables. Our numerical models include system and measurement noise. We explore the influences of dataset metrics, the spectrum of the latent dynamics, the normality of the system matrix and the geometry of the dynamics. Our results show that even for these very mildly nonlinear conditions, DMD methods often fail to recover the spectrum and can have poor predictive ability. Our work is motivated by our experience modelling multilegged robot data, where we have encountered great difficulty in reconstructing time series for oscillatory systems with intermediate transients, which decay only slightly faster than a period.
Wu et al. (2021) studied this question.