Entropic transfer operators for stochastic systems

Abstract

Dynamical systems can be analyzed via their Frobenius-Perron transfer operator and its estimation from data is an active field of research. Recently entropic transfer operators have been introduced to estimate the operator of deterministic systems. The approach is based on the regularizing properties of entropic optimal transport plans. In this article we generalize the method to stochastic and non-stationary systems and give a quantitative convergence analysis of the empirical operator as the available samples increase. We introduce a way to extend the operator's eigenfunctions to previously unseen samples, such that they can be efficiently included into a spectral embedding. The practicality and numerical scalability of the method are demonstrated on a real-world fluid dynamics experiment.

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