Quantum mechanics and data assimilation.

A framework for data assimilation combining aspects of operator-theoretic ergodic theory and quantum mechanics is developed. This framework adapts the Dirac-von Neumann formalism of quantum dynamics and measurement to perform sequential data assimilation (filtering) of a partially observed, measure-preserving dynamical system, using the Koopman operator on the L^{2} space associated with the invariant measure as an analog of the Heisenberg evolution operator in quantum mechanics. In addition, the state of the data assimilation system is represented by a trace-class operator analogous to the quantum mechanical density operator, and the assimilated observables by self-adjoint multiplication operators. An averaging approach is also introduced, rendering the spectrum of the assimilated observables discrete and thus amenable to numerical approximation. We present a data-driven formulation of the quantum mechanical data assimilation approach, utilizing kernel methods from machine learning and delay-coordinate maps of dynamical systems to represent the evolution and measurement operators via matrices in a data-driven basis. The data-driven formulation is structurally similar to its infinite-dimensional counterpart and shown to converge in a limit of large data under mild assumptions. Applications to periodic oscillators and the Lorenz 63 system demonstrate that the framework is able to naturally handle highly non-Gaussian statistics, complex state space geometries, and chaotic dynamics.