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
Integrals of motion reduce the dimension of dynamics. Smooth function that is constant along trajectories of the system. Pushing the system transversely to level-sets of integrals yields 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
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Basic Definitions
State space is a compact manifold with a smooth probability measure. T is a continuous transformation. T preserves the measure, e.g., Hamiltonian systems preserve area.

(M, µ), µ(M ) = 1 xn = T (xn−1 ) A ∈ B(M )

µ (A) = µ T

−1

A

Observables can be selected from square integrable functions.
2009-12-17, 48th IEEE CDC Shanghai, China

yn = f (xn )

f ∈ L2 (M, µ) = [f ◦ T ] (x0 )
n
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Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

Ergodicity and Ergodic Partition
Ergodic System

C=T ⇓

−1

(C)

There is a trajectory going from every set of positive measure to any other set of positive measure. Almost all intial conditions are generic.

µ(C) = 1 or 0

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

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Ergodicity and Ergodic Partition
Ergodic System

C=T ⇓

−1

(C)

There is a trajectory going from every set of positive measure to any other set of positive measure. Almost all intial conditions are generic.

µ(C) = 1 or 0
Fixed Partition
{Cα }α∈A
−1

Ergodic Partition
C

Cα = T

(Cα )

It is the finest fixed partition. Ergodic sets are dynamical atoms.

T |Cα

is an ergodic system.

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

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Time-averages are Invariants of Motion
Birkhoff’s Ergodic Theorem Invariants of motion In ergodic sets
1 k f (x) = lim f T (x) N →∞ N k=0 f ∗ (x) = f ∗ [T (x)]

∗ f1

N −1

f ∗ (x) =

f dµC , a.e. x ∈ C C

Level sets of a time-averaged observable form a fixed invariant partition.

[Mezić, Wiggins ’99]
2009-12-17, 48th IEEE CDC Shanghai, China Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables
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Time-averages are Invariants of Motion
Birkhoff’s Ergodic Theorem Invariants of motion In ergodic sets
1 k f (x) = lim f T (x) N →∞ N k=0 f ∗ (x) = f ∗ [T (x)]

∗ f1

N −1

f ∗ (x) =

f dµC , a.e. x ∈ C C

Level sets of a time-averaged observable form a fixed invariant partition. Joint level sets of multiple timeaveraged observables limit to the ergodic partition.
2009-12-17, 48th IEEE CDC Shanghai, China Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables
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∗ f2

[Mezić, Wiggins ’99]

Time-averages are Invariants of Motion
Birkhoff’s Ergodic Theorem Invariants of motion In ergodic sets
1 k f (x) = lim f T (x) N →∞ N k=0 f ∗ (x) = f ∗ [T (x)]
∗ N −1

f ∗ (x) =

f dµC , a.e. x ∈ C C

Level sets of a time-averaged observable form a fixed invariant partition. Joint level sets of multiple timeaveraged observables limit to the ergodic partition.
2009-12-17, 48th IEEE CDC Shanghai, China Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables
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∗ f1 ∗ f2

[Mezić, Wiggins ’99]

Mesochronic (Time-Average) Space
y
State Space

∗ f3

Mesochronic Space

 ∗  f1 (x, y) ∗ f2 (x, y)  ∗  f3 (x, y)   . . .

∗ f2 ∗ f1

Countable, linearly independent set of observables is sufficient. Points within the same ergodic set are mapped to a single point in the mesochronic space.
2009-12-17, 48th IEEE CDC Shanghai, China

x

Is there a notion of “dynamically similar” ergodic sets?
6

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

Mesochronic (Time-Average) Space
y
State Space

∗ f3

Mesochronic Space

 ∗  f1 (x, y) ∗ f2 (x, y)  ∗  f3 (x, y)   . . .

∗ f2 ∗ f1

Countable, linearly independent set of observables is sufficient. Points within the same ergodic set are mapped to a single point in the mesochronic space.
2009-12-17, 48th IEEE CDC Shanghai, China

x

Is there a notion of “dynamically similar” ergodic sets?
6

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

Mesochronic (Time-Average) Space
y
State Space

∗ f3

Mesochronic Space

 ∗  f1 (x, y) ∗ f2 (x, y)  ∗  f3 (x, y)   . . .

∗ f2 ∗ f1

Countable, linearly independent set of observables is sufficient. Points within the same ergodic set are mapped to a single point in the mesochronic space.
2009-12-17, 48th IEEE CDC Shanghai, China

x

Is there a notion of “dynamically similar” ergodic sets?
6

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

Ambient Distance: Mix-metric
Intuition: Trajectories “close” if they spend similar amounts of time in any subset of the state space.
x2 (t)

x1 (t)

Observables: fk (x) = ei<k,x> , k ∈ Zd Fourier basis Mix-Metric equivalent to a Sobolev space metric:

∗ f3
OK

???

d(x, y) =
2 k∈Zd
2009-12-17, 48th IEEE CDC Shanghai, China

∗ ∗ |fk (x) − fk (y)|2 2 )s (1 + |k|
Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

∗ f2 ∗ f1
[Mathew, Mezić, Petzold ’05]
7

Ambient Distance: Mix-metric
Intuition: Trajectories “close” if they spend similar amounts of time in any subset of the state space.
x2 (t)

x1 (t)

Observables: fk (x) = ei<k,x> , k ∈ Zd Fourier basis Mix-Metric equivalent to a Sobolev space metric:

∗ f3
OK

???

d(x, y) =
2 k∈Zd
2009-12-17, 48th IEEE CDC Shanghai, China

∗ ∗ |fk (x) − fk (y)|2 2 )s (1 + |k|
Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

∗ f2 ∗ f1
[Mathew, Mezić, Petzold ’05]
7

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.
2009-12-17, 48th IEEE CDC Shanghai, China Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

[Coifman, Lafon ’06]
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Diffusion Maps Algorithm
1. Pairwise ambient distances 2. Heat kernel 3. Approx. density of samples 4. Compensating for nonuniform sampling density 5. Discrete (graph) Laplacian 6. Eigenvectors of the Laplacian assign coordinates to each point
Properties of Coordinates

Eij = d(xi , xj ) 2 2 Wij = exp −Eij /σ Pσ = diag[W · 1N ]
−1 −1 ˜ W = Pσ W P σ

L=I −D

−1

˜ W
(i)

(i)

= λi χ

• Euclidean distance in coordinate space is
the diffusion distance on manifold. • Coordinates are ordered by scale, with exponential tail.
Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

2009-12-17, 48th IEEE CDC Shanghai, China

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xn+1 = T (xn )

ei<k,x>

k

Initial Conditions
Embedding Space State Space

Trajectories

Time Average Vectors
χ1

Global Coordinates
Visualization, Clustering, Control

Diffusion Maps
Lχ(i) = λi χ(i)

Pairwise Mix-Metric
exp[E 2 /σ 2 ]
10

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

xn+1 = T (xn )

ei<k,x>

k

Initial Conditions
Embedding Space State Space

Trajectories

Time Average Vectors
χ1

Global Coordinates
Visualization, Clustering, Control

Diffusion Maps
Lχ(i) = λi χ(i)

Pairwise Mix-Metric
exp[E 2 /σ 2 ]
10

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

xn+1 = T (xn )

ei<k,x>

k

Initial Conditions
Embedding Space State Space

Trajectories

Time Average Vectors
χ1

Global Coordinates
Visualization, Clustering, Control

Diffusion Maps
Lχ(i) = λi χ(i)

Pairwise Mix-Metric
exp[E 2 /σ 2 ]
10

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

xn+1 = T (xn )

ei<k,x>

k

Initial Conditions
Embedding Space State Space

Trajectories

Time Average Vectors
χ1

Global Coordinates
Visualization, Clustering, Control

Diffusion Maps
Lχ(i) = λi χ(i)

Pairwise Mix-Metric
exp[E 2 /σ 2 ]
10

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

xn+1 = T (xn )

ei<k,x>

k

Initial Conditions
Embedding Space State Space

Trajectories

Time Average Vectors
χ1

Global Coordinates
Visualization, Clustering, Control

Diffusion Maps
Lχ(i) = λi χ(i)

Pairwise Mix-Metric
exp[E 2 /σ 2 ]
10

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

xn+1 = T (xn )

ei<k,x>

k

Initial Conditions
Embedding Space State Space

Trajectories

Time Average Vectors
χ1

Global Coordinates
Visualization, Clustering, Control

Diffusion Maps
Lχ(i) = λi χ(i)

Pairwise Mix-Metric
exp[E 2 /σ 2 ]
10

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

Visualization
Chirikov Standard Map:

x+ = x1 + 2πε sin(x2 ) 1

(mod 2π)

x+ = x1 + x2 + 2πε sin(x2 ) (mod 2π) 2
Pick a coordinate vector (eigenvector of DOL). Assign pseudocolors to each trajectory based on the corresponding coordinate value.
1st eigenvector 7th eigenvector

ε = 0.1

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

11

Visualization
Chirikov Standard Map:

x+ = x1 + 2πε sin(x2 ) 1

(mod 2π)

x+ = x1 + x2 + 2πε sin(x2 ) (mod 2π) 2
Pick a coordinate vector (eigenvector of DOL). Assign pseudocolors to each trajectory based on the corresponding coordinate value.
1st eigenvector 7th eigenvector

ε = 0.1

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

11

Visualization
Chirikov Standard Map:

x+ = x1 + 2πε sin(x2 ) 1

(mod 2π)

x+ = x1 + x2 + 2πε sin(x2 ) (mod 2π) 2
Pick a coordinate vector (eigenvector of DOL). Assign pseudocolors to each trajectory based on the corresponding coordinate value.
1st eigenvector 7th eigenvector

ε = 0.1

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

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Perturbation ε = 0.1
Trajectories

Embedding
0.025 0.02 0.015 0.01 0.005 χ(2) 0

-0.005 -0.01 -0.015 -0.02

-0.03

-0.02

Pseudocoloring

χ(1)

χ(2)

-0.01 χ(1)

0

0.01

0.02

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

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ε = 0.1 – Higher Heat Modes
χ
(4)

χ

(5)

χ

(7)

χ

(12)

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

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Spectrum of the Laplacian (Diffusion Operator)
Dynamically Separated Features
0.0 0.1 0.2 Perturbation ε 0.3 0.4 0.5 0.6 0.7 0.8 0.9
1 1 1 1 1 10 5 1 10 5

Dynamically Connected Features

1

5

10

5

10

5

10

1

5

10

1

5

10

1

5

10

5

10

Better connected regions equilibrate heat at higher rate, corresponding to eigenvalues close to 1.

510

0

0.2

0.4

0.6

0.8

1

Diffusion eigenvalues λi

2009-12-17, 48th IEEE CDC Shanghai, China

Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables

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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.
2009-12-17, 48th IEEE CDC Shanghai, China Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables
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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
2009-12-17, 48th IEEE CDC Shanghai, China Marko Budišić: Parametrization of Ergodic Partition Using Time-Averages of Observables
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