Low-rank Approximation and Dynamic Mode Decomposition

Dynamic Mode Decomposition (DMD) has emerged as a powerful tool for analyzing the dynamics of non-linear systems from experimental datasets. Recently, several attempts have extended DMD to the context of low-rank approximations. This low-rank extension takes the form of a nonconvex optimisation problem. To the best of our knowledge, only sub-optimal algorithms have been proposed in the literature to compute the solution of this problem. In this paper, we prove that there exists a closed-form optimal solution to this problem and design an effective algorithm to compute it based on Singular Value Decomposition (SVD). Based on this solution, we then propose efficient procedures for reduced-order modeling and for the identification of the low-rank DMD modes and amplitudes. Experiments illustrates the gain in performance of the proposed algorithm compared to state-of-the-art techniques.