Dynamic mode decomposition based on expectation–maximization algorithm for simultaneous system identification and denoising

• Published in: Mechanical systems and signal processing Vol. 223; p. 111864
• Main Authors: Iwasaki, Yuto, Sasaki, Yasuo, Nagata, Takayuki, Kaneko, Sayumi, Nonomura, Taku
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 15.01.2025
• Subjects: Denoising; Dynamic mode decomposition; Expectation–maximization algorithm; Linear dynamical system; System identification; Linear dynamical system; System identification; Dynamic mode decomposition; Expectation–maximization algorithm; Denoising

The present study proposes a novel dynamic mode decomposition (DMD) that can simultaneously estimate the reduced-order model, the original signal, and the system/observation noise model only from the noisy data. An expectation–maximization (EM)-algorithm DMD (EMDMD) combines DMD and the parameter ad...