Info for those returning to Norway 1900-1910

Am trying to find info on grandfather who immigrated to US in 1887 and returned to Norway ca. 1905. He again returned to the US in 1909 and then returned to Norway ca. 1909. Finally, he immigrated to Canada in 1911. I have documentation on his trips to the US and Canada but can not find anything on on his trips to Norway. He was living in South Dakota during this time period so I assume he probably would leave from Chicago if possible. Thanks for any help on where to look. Gene Nelson