In Part II of this workshop, we will overview how DMD is used in data-driven study of stochastic dynamical systems, and how the algorithm can be improved by incorporating a Kalman Filter. The discussion will largely follow the recent paper "Correcting Noisy Dynamic Mode Decomposition With Kalman Filters" by Lijian Jiang and Ningxin Liu, which may be accessed at https://www.sciencedirect.com/science/article/pii/S0021999122002376.

Math 402 and Zoom: 82075792519  Password:  150721