Mezi Research Group

Goal: detecting coarse-grained patterns in uid ows.

DIFFUSION MAPS AS INVARIANT FUNCTIONS OF DYNAMICAL SYSTEMS

Layering: neighboring uid parcels behave similarly

We have access to Lagrangian trajectories: how do we detect which trajectories are similar?
NASA/Goddard Space Flight Center

Funding: ONR MURI Ocean 3D+1

May 1, 2013

SIAM Conference on Applications of Dynamical Systems Quotients Snowbird, by Lagrangian averages detect coarse patterns in ows. UT, May 2013

Marko Budii Igor Mezi

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Mezi Research Group

Invariant functions dene barriers to dynamical transport and simplify dynamics.

Invariant functions: functions on the state space whose values are constant along trajectories. Fluid dynamics: Boundaries of (sub-)level sets of invariant functions are barriers to material transport.

Classical mechanics: Integrals of motion foliate the state space. We can reduce system to each of the leaves of the foliation and reduce order of the system.

May 23, 2013

Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems

Mezi Research Group

Every invariant function is an average of a scalar function along trajectories.

Trajectory:
Vector field Initial state
p

x p = u( xp ) ,

xp (0) = p

x p ( t)

(p, t) 7! xp (t)

Time-average:
f :P!C

1 f (p) := lim T !1 T

p ! f (xp (t))

(p) p!f

f (xp ( ))d
0

(xp (t)) f (p) Time averages are invariant functions: f

Level sets of time-averages are invariant sets. Different initial functions may not yield independent time-averages.
May 23, 2013

p ! g (xp (t))

p!g (p)

Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems

Mezi Research Group

Ergodic Quotient is a static representation of dynamical invariants in the space of averaged functions.
Functions selected from a basis

Ergodic Quotient (EQ) maps initial conditions to innite vectors of time averages.

f 1 ( p) 6f 7 ( p ) p 7! 4 2 5 . . .
Entire trajectories are represented by single points.

(p) := lim 1 f T !1 T

f (xp ( ))d
0

Any function with the domain in EQ is again an invariant function.

x p = u(t, xp )

f 2 ( p)
Axes are averaged functions.

f 1 ( p)
Ergodic Quotient
May 23, 2013 Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems
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Sobolev space topology on Ergodic Quotient captures families of orbits as continuous segments.
Desired topology:
State space portrait Reeb Graphs (ideal EQ structure)
Fixed point on separatrices prevent segments from connecting.

ikx Required choice of observables: fk (x) = e

Time-averages of Fourier harmonics are spatial Fourier coefcients of averaging distributions, supported on orbits.

Sobolev space norm does the trick:

Ergodic Quotient f 2 ( p)

d(p1 , p2 )2 =
Wavevectors
May 23, 2013

k 2 Zd

X f k ( p1 )

f k ( p2 )
2 s |k | )

(1 +

Acts as a low-pass filter: de-emphasizes small scale differences.

f 1 ( p)
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Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems

Mezi Research Group

Diffusion coordinates reduce ambient dimension, while preserving intrinsic geometry of the EQ.
The ambient dimension is the number of functions averaged (axes). It is ideally large, to achieve a high resolution. It is known a priori.

f 2 ( p)

Ergodic Quotient

The intrinsic dimension depends on the complexity of dynamics, but can be very small, even zero (ergodicity). It is unknown a priori.

f 1 ( p)

Diffusion Maps:
[Coifman, Lafon, ACHA, 2006]

Heat sources are placed on an entangled wire (EQ).

To disentangle the wire (EQ), sort the points by time it takes them to heat up.

Practical matters: Bubacarr Bah, MSc Thesis, Oxford, 2008.

Diffusion coordinates pulled back onto the state space are invariant functions, sensitive to similarity in dynamics.
May 23, 2013

Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems

f 1 ( p) 6f 7 6 ( p ) 2 p !4 5 !4 Averaging Diffusion . . Maps .

1 ( (p))

2 ( (p))5

. . .

3 7
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Coloring the state space by values of dominant diffusion coordinates reveals large scale features.
State space portrait

EQ in Diffusion Coordinates

Coloring of the state space

1

0.5
2

Averaging + Diffusion Maps

0.5 1 1 0.5
1

Diffusion pseudocolors identify invariant sets

1

0 1

0. 5

1
2 3

Different colors indicate there is no material transport between regions.

May 23, 2013 Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems

Coordinates of higher order distinguish between finer features.

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Budi si c: PhD. Diss. Draft, 08/29/12
State space

Clustering in diffusion coord. identies large-scale invariant sets. CHAPTER 4. EXAMPL

Steady ABC ow:
Cluster
6 5 4 3 2 1 0
0.05 0.03

Vortices identified as clusters of points in diff. coord. space.

1.00

Ergodic Quotient

1.00 0.50 0.00 1.00

0.00 0.00

Index 6

0.50 z

0.01

0.01 0.03 0.08 0.04 0.05 0 0.04 Index 4 0.08 0.15 0 .1 Index 2 0 0.05

0 .1

0.50

Time-periodic Hills vortex ring:

(a) Six clusters in the state space. Chaotic sea (b) Projection of the ergodic quot State space Ergodic Quotient (cluster 1) cropped for clarity. onto di usion modes k , k = 2, 4 Secondary vortex appears as 2
a bifurcation in the primary segment

1 Figure 4.2: Six primary vortices extracted by k-means clustering (k = 7) of project Cluster 0 Cluster 1 0 .8 Cluster 2 of the ergodic quotient onto rst 30 di usion coordinate. (Parameters in Tab. 4. Cluster 3 0 .6

0 0. 3
2

0 .4 0 .2

Time-periodic perturbation splits the primary vertex core.

May 23, 2013

boundary plane, which act as Poincar e sections for each of primary vortices. The 0 R we were able to reduce the initialization set 0.2 even further, focusing the ini fore, 0 .4 conditions on the x = 0 plane. Of course, any other x = const. plane could h 0 .6 0. 2 been chosen with the same e ect. 0 .8 0. 1 1 Fig. 4.3 shows the results of the simulation focusing on a single1 vort z 1 0 .5 0 0 .5 0.1 hulls of clusters in the ergodic quotient are disjoint, allowing Again, the convex Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems 8 an easy detection of k = 5 clusters. We see in Fig. 4.3a that primary vortices do
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Future: method resolves structures in nite-time, unsteady ows.

HYCOM simulation of 2D Gulf Stream (along surface of equal potential density of water) Averaging Time = 20 days Color:
1

Averaging Time = 10 days Color:

3 1

May 23, 2013

Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems

by Drew Poje (CUNY)

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Mezi Research Group

To achieve automatic analysis, there are several issues that need resolving:
Post-processing: K-means, proximity graphs, etc.
Ergodic quotient for Hills ring vortex
1 0 .8 0 .6 0 .4 0 .2 2 0 Cluster Cluster Cluster Cluster 0 1 2 3

Detection of intrinsic dimension and independent coordinates.

Dependence of diffusion coordinates
0 .8 0 .6 0 .4 0 .2

0 .2 0 .4

Due to highly non-convex structures, K-means clustering is not a good choice. Alternative segmenting would be preferable.

0 .2 0 .4 0 .6 k k k k 0 .3 0.35 1 =2 =3 =4 =5 0 .4 0.45 0 .5

What is relevant for dynamical systems?

0 .6 0 .8 1 1 0 .5 0 1 0 .5 1

0 .8 1

Tuning the diffusion bandwidth.

Diffusion eigenvalues depend on the tuning

Where is the spectral gap? Incorrect bandwidth can articially connect or disconnect regions. Tuning is heuristic: Lafon (min. distance), Lee (neighborhood size), Singer (linear sensitivity).
May 23, 2013 Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems
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Take away points:

Ergodic Quotient (EQ) is a geometric representation

of the space of invariant functions.

1 0.5

Time-averaged functions provide computable axes for EQ. 0 Diffusion Maps provide efcient axes for EQ,
while preserving intrinsic geometry. in the state space.

EQ was successfully used to extract invariant sets

0.5 1 1 0.5 0 1 0. 5 1

Even in nite-time, method recovers signicant structures.

Budii and Mezi, Geometry of the ergodic quotient reveals coherent structures in flows, Physica D, 241, (2012). Budii, Ergodic Quotients in Analysis of Dynamical Systems, PhD Thesis, UC Santa Barbara, (2012). Budii, Mohr, and Mezi, Applied Koopmanism, Chaos 22, (2012).
May 23, 2013 Marko Budii: Diffusion Maps as Invariant Functions of Dynamical Systems
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