48th IEEE CDC Presentation

PARAMETRIZATIONS OF ERGODIC
PARTITIONS USING TIME-AVERAGES

OF OBSERVABLES
Marko Budišić and Igor Mezić

48th IEEE Conference on Decision and Control
Shanghai, China
17 December, 2009
Intuition: Systems with Integrals of Motion
Integral of motion Smooth function that is constant
along trajectories of the system.
Integrals of Pushing the system
motion transversely to
reduce the level-sets of
dimension of integrals yields
dynamics. efficient control.
Not all systems have integrals of motion.

Can we compute a “minimal” set
of functions with similar
properties for “any” system?
2009-12-17, 48th IEEE CDC Shanghai, China Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables 2
Basic Definitions
State space is a compact manifold
(M, µ), µ(M ) = 1
with a smooth probability measure.
T is a continuous transformation. xn = T (xn−1 )
T preserves the measure, e.g., A ∈ B(M )

! −1 "
Hamiltonian systems preserve area. µ (A) = µ T A
f ∈ L2 (M, µ)
Observables can be selected from
yn = f (xn )
square integrable functions.
= [f ◦ T ] (x0 ) n
Ergodicity and Ergodic Partition
Ergodic System There is a trajectory going from
every set of positive measure to
C=T −1
(C) any other set of positive measure.
⇓
Almost all intial conditions
µ(C) = 1 or 0 are generic.
Ergodicity and Ergodic Partition
Ergodic System There is a trajectory going from
every set of positive measure to
C=T −1
(C) any other set of positive measure.
⇓
Almost all intial conditions
µ(C) = 1 or 0 are generic.
Fixed Partition Ergodic Partition
{Cα }α∈A T |Cα is an ergodic system.

C
Cα = T −1
(Cα ) It is the finest fixed partition.
Ergodic sets are dynamical atoms.
Time-averages are Invariants of Motion
N
! −1
1 " k #
Birkhoff’s Ergodic Theorem f (x) = lim
∗
f T (x)
N →∞ N
k=0
Invariants of motion f ∗ (x) = f ∗ [T (x)]
In ergodic sets
! f1∗
f ∗ (x) = C
f dµC , a.e. x ∈ C
Level sets of a time-averaged

observable form a fixed invariant
partition.
[Mezić, Wiggins ’99]

N
! −1
1 " k #
∗
f T (x)
N →∞ N
k=0
In ergodic sets
! f1∗
f ∗ (x) = C

observable form a fixed invariant
partition.
Joint level sets of multiple time- f2∗
averaged observables limit to the
ergodic partition.
N
! −1
1 " k #
∗
f T (x)
N →∞ N
k=0
In ergodic sets
!
f ∗ (x) = C
f1∗
observable form a fixed invariant f2∗
partition.
Joint level sets of multiple time-
averaged observables limit to the
ergodic partition.
Mesochronic (Time-Average) Space
State Space Mesochronic Space
y f3∗
 ∗ 
f1 (x, y)
f2∗ (x, y)
 ∗ 
f3 (x, y)
 
..
.
∗
f2
x ∗
f1
Countable, linearly independent set
of observables is sufficient. Is there a notion of
Points within the same ergodic “dynamically similar”
set are mapped to a single point ergodic sets?
in the mesochronic space.
y f3∗
 ∗ 
f1 (x, y)
f2∗ (x, y)
 ∗ 
f3 (x, y)
 
..
.
∗
f2
x ∗
f1
y f3∗
 ∗ 
f1 (x, y)
f2∗ (x, y)
 ∗ 
f3 (x, y)
 
..
.
∗
f2
x ∗
f1
Ambient Distance: Mix-metric
Intuition: Trajectories “close” if they
spend similar amounts of time
in any subset of the state space.
x1 (t)
x2 (t)
f3∗
Observables:
fk (x) = ei<k,x> , k ∈ Zd OK
Fourier basis
Mix-Metric equivalent to a
Sobolev space metric: ???
∗
! |f ∗ (x) − f ∗ (y)|2 f2
d(x, y) =
2 k k
s
d
(1 + |k| )
2 ∗
f1
k∈Z
[Mathew, Mezić, Petzold ’05]
Ambient Distance: Mix-metric
Intuition: Trajectories “close” if they
spend similar amounts of time
in any subset of the state space.
x1 (t)
x2 (t)
f3∗
Observables:
fk (x) = ei<k,x> , k ∈ Zd OK
Fourier basis
Mix-Metric equivalent to a
Sobolev space metric: ???
∗
! |f ∗ (x) − f ∗ (y)|2 f2
d(x, y) =
2 k k
s
d
(1 + |k| )
2 ∗
f1
k∈Z
[Mathew, Mezić, Petzold ’05]
Heat Diffusion as Surveying
Surveying – extracting global
coordinates from pairwise distances.
Treats embedding points as
samples on a manifold.
Diffusion distance is proportional to time that heat

takes to propagate between points on the manifold.
Eigenmodes of heat
equation are coordinates.
Coordinates capture
“bottlenecks” in manifolds,
ordered by scale.
[Coifman, Lafon ’06]
Diffusion Maps Algorithm
1. Pairwise ambient distances Eij = d(xi , xj )
! "
2. Heat kernel Wij = exp −Eij /σ
2 2
3. Approx. density of samples Pσ = diag[W · 1N ]

4. Compensating for nonuniform
W̃ = Pσ−1 W Pσ−1
sampling density
5. Discrete (graph) Laplacian L=I −D −1
W̃
6. Eigenvectors of the Laplacian
assign coordinates to each point Lχ (i)
= λi χ (i)
Properties of • Euclidean distance in coordinate space is

Coordinates the diffusion distance on manifold.
• Coordinates are ordered by scale, with
exponential tail.
! "
xn+1 = T (xn ) e i<k,x>
k
Initial Time Average

Trajectories
Conditions Vectors
Embedding
State Space
Space χ1
Global
Diffusion Pairwise
Coordinates
Visualization, Maps Mix-Metric
Clustering, Control
Lχ(i) = λi χ(i) exp[E 2 /σ 2 ]

! "
xn+1 = T (xn ) e i<k,x>
k

Trajectories
Conditions Vectors
Embedding
State Space
Space χ1
Global
Diffusion Pairwise
Coordinates
Clustering, Control

! "
xn+1 = T (xn ) e i<k,x>
k

Trajectories
Conditions Vectors
Embedding
State Space
Space χ1
Global
Diffusion Pairwise
Coordinates
Clustering, Control

! "
xn+1 = T (xn ) e i<k,x>
k

Trajectories
Conditions Vectors
Embedding
State Space
Space χ1
Global
Diffusion Pairwise
Coordinates
Clustering, Control

! "
xn+1 = T (xn ) e i<k,x>
k

Trajectories
Conditions Vectors
Embedding
State Space
Space χ1
Global
Diffusion Pairwise
Coordinates
Clustering, Control

! "
xn+1 = T (xn ) e i<k,x>
k

Trajectories
Conditions Vectors
Embedding
State Space
Space χ1
Global
Diffusion Pairwise
Coordinates
Clustering, Control

Visualization
Chirikov Standard Map:
1 = x1 + 2πε sin(x2 )
x+ (mod 2π)
2 = x1 + x2 + 2πε sin(x2 ) (mod 2π)
x+
Pick a coordinate vector (eigenvector of DOL).

Assign pseudocolors to each trajectory
based on the corresponding coordinate value.
ε = 0.1
1st eigenvector 7th eigenvector
Visualization
1 = x1 + 2πε sin(x2 )
x+ (mod 2π)
2 = x1 + x2 + 2πε sin(x2 ) (mod 2π)
x+

ε = 0.1
Visualization
1 = x1 + 2πε sin(x2 )
x+ (mod 2π)
2 = x1 + x2 + 2πε sin(x2 ) (mod 2π)
x+

ε = 0.1
Perturbation ε = 0.1 0.025
Embedding
0.02
Trajectories 0.015
0.01
0.005
χ(2)
0
-0.005
-0.01
-0.015
-0.02
-0.03 -0.02 -0.01 0 0.01 0.02
Pseudocoloring χ(1) χ(2) χ(1)
ε = 0.1 – Higher Heat Modes
(4) (5)
χ χ
(7) (12)
χ χ
Spectrum of the Laplacian (Diffusion Operator)
Dynamically Separated Dynamically Connected
Features Features
15 10
0.0
15 10
0.1
1 5 10 Better connected
0.2
0.3
1 5 10
regions equilibrate
Perturbation ε
0.4
1 5 10
heat at higher
rate, corresponding
1 5 10
0.5
1 5 10
0.6
1 5 10
to eigenvalues
0.7
1 5 10 close to 1.
0.8
1 510
0.9
0 0.2 0.4 0.6 0.8 1

Diffusion eigenvalues λi
Summary
Start: Computable measure-preserving dynamical system.
End: Ergodic partition coordinates assigned to each trajectory.
Coordinates are invariants of motion.
Dimension reduction
Ordering by scale enables coarse-graining of dynamics.
Visualization and analysis
Coordinate-space embedding does not depend on dimension
of the state space.
Potential for control
Driving the system along each coordinate is transversal to the
ergodic partition.
Main Reference
M. Budišić, I. Mezić, An Approximate Parametrization of the Ergodic
Partition Using Time-Averaged Observables, 48th IEEE CDC
Shanghai, 2009
Construction of Ergodic Partition

I. Mezić, S. Wiggins, A method for visualization of invariant sets of
dynamical systems based on the ergodic partition, Chaos (9), 1999
Mixing Metric
G. Mathew, I. Mezić, L. Petzold, A Multiscale Measure for Mixing,
Physica D (211), 2005
Diffusion Maps
R. R. Coifman, S. Lafon, Diffusion Maps, Applied and Computational
Harmonic Analysis (21), 2006

48th IEEE CDC Presentation

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

48th IEEE CDC Presentation

Uploaded by

Copyright:

Available Formats

PARAMETRIZATIONS OF ERGODIC

PARTITIONS USING TIME-AVERAGES

Marko Budišić and Igor Mezić

Not all systems have integrals of motion.

T is a continuous transformation. xn = T (xn−1 )

T preserves the measure, e.g., A ∈ B(M )

Fixed Partition Ergodic Partition

{Cα }α∈A T |Cα is an ergodic system.

Level sets of a time-averaged

[Mezić, Wiggins ’99]

Level sets of a time-averaged

Diffusion distance is proportional to time that heat

3. Approx. density of samples Pσ = diag[W · 1N ]

Properties of • Euclidean distance in coordinate space is

Initial Time Average

Lχ(i) = λi χ(i) exp[E 2 /σ 2 ]

Initial Time Average

Lχ(i) = λi χ(i) exp[E 2 /σ 2 ]

Initial Time Average

Lχ(i) = λi χ(i) exp[E 2 /σ 2 ]

Initial Time Average

Lχ(i) = λi χ(i) exp[E 2 /σ 2 ]

Initial Time Average

Lχ(i) = λi χ(i) exp[E 2 /σ 2 ]

Initial Time Average

Lχ(i) = λi χ(i) exp[E 2 /σ 2 ]

Pick a coordinate vector (eigenvector of DOL).

Pick a coordinate vector (eigenvector of DOL).

Pick a coordinate vector (eigenvector of DOL).

-0.03 -0.02 -0.01 0 0.01 0.02

Pseudocoloring χ(1) χ(2) χ(1)

0 0.2 0.4 0.6 0.8 1

Construction of Ergodic Partition

You might also like