Bayesian Dynamic Mode Decomposition

Abstract

Dynamic mode decomposition (DMD) is a data-driven method for calculating a modal representation of a nonlinear dynamical system, and it has been utilized in various fields of science and engineering. In this paper, we propose Bayesian DMD, which provides a principled way to transfer the advantages of the Bayesian formulation into DMD. To this end, we first develop a probabilistic model corresponding to DMD, and then, provide the Gibbs sampler for the posterior inference in Bayesian DMD. Moreover, as a specific example, we discuss the case of using a sparsity-promoting prior for an automatic determination of the number of dynamic modes. We investigate the empirical performance of Bayesian DMD using synthetic and real-world datasets.