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Model Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19–23, 2017

Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

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Page 1: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Model Order Reductionfor Nonlinear Systems

Using Transfer Function ConceptsPeter Benner

11. Elgersburg WorkshopFebruary 19–23, 2017

Page 2: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Joint work with . . .

Mian Ilyas AhmadNational University of Science and Technology, Islamabad

Tobias BreitenKarl-Franzens-Universitat Graz

Pawan GoyalMPI Magdeburg

Jan HeilandMPI Magdeburg

Imad JaimoukhaImperial College London

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 2/37

Page 3: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Overview

1. Introduction

2. Model Reduction for Linear Systems

3. Balanced Truncation for Nonlinear Systems

4. Rational Interpolation for Nonlinear Systems

5. References

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 3/37

Page 4: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Outline

1. IntroductionModel Reduction for Control SystemsSystem ClassesHow general are these system classes?Linear Systems and their Transfer Functions

2. Model Reduction for Linear Systems

3. Balanced Truncation for Nonlinear Systems

4. Rational Interpolation for Nonlinear Systems

5. References

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 4/37

Page 5: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

IntroductionModel Reduction for Control Systems. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Nonlinear Control Systems

Σ ∶ { Ex(t) = f (t, x(t),u(t)), Ex(t0) = Ex0,y(t) = g(t, x(t),u(t))

with

(generalized) states x(t) ∈ Rn,

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

If E singular ; descriptor system. Here, E = In for simplicity.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 5/37

Page 6: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Model Reduction for Control Systems

Original System (E = In)

Σ ∶ { x(t) = f (t, x(t),u(t)),y(t) = g(t, x(t),u(t)).

states x(t) ∈ Rn,

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

Reduced-Order Model (ROM)

Σ ∶ {˙x(t) = f (t, x(t),u(t)),y(t) = g(t, x(t),u(t)).

states x(t) ∈ Rr , r ≪ n

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

Goals:

∥y − y∥ < tolerance ⋅ ∥u∥ for all admissible input signals.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 6/37

Page 7: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Model Reduction for Control Systems

Original System (E = In)

Σ ∶ { x(t) = f (t, x(t),u(t)),y(t) = g(t, x(t),u(t)).

states x(t) ∈ Rn,

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

Reduced-Order Model (ROM)

Σ ∶ {˙x(t) = f (t, x(t),u(t)),y(t) = g(t, x(t),u(t)).

states x(t) ∈ Rr , r ≪ n

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

Goals:

∥y − y∥ < tolerance ⋅ ∥u∥ for all admissible input signals.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 6/37

Page 8: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Model Reduction for Control Systems

Original System (E = In)

Σ ∶ { x(t) = f (t, x(t),u(t)),y(t) = g(t, x(t),u(t)).

states x(t) ∈ Rn,

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

Reduced-Order Model (ROM)

Σ ∶ {˙x(t) = f (t, x(t),u(t)),y(t) = g(t, x(t),u(t)).

states x(t) ∈ Rr , r ≪ n

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

Goals:

∥y − y∥ < tolerance ⋅ ∥u∥ for all admissible input signals.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 6/37

Page 9: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Model Reduction for Control Systems

Original System (E = In)

Σ ∶ { x(t) = f (t, x(t),u(t)),y(t) = g(t, x(t),u(t)).

states x(t) ∈ Rn,

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

Reduced-Order Model (ROM)

Σ ∶ {˙x(t) = f (t, x(t),u(t)),y(t) = g(t, x(t),u(t)).

states x(t) ∈ Rr , r ≪ n

inputs u(t) ∈ Rm,

outputs y(t) ∈ Rq.

Goals:

∥y − y∥ < tolerance ⋅ ∥u∥ for all admissible input signals.

Secondary goal: reconstruct approximation of x from x .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 6/37

Page 10: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

System Classes

Control-Affine (Autonomous) Systems

x(t) = f (t, x ,u) = A(x(t)) + B(x(t))u(t), A ∶ Rn → Rn×n, B ∶ Rn → Rn×m,

y(t) = g(t, x ,u) = C(x(t)) +D(x(t))u(t), C ∶ Rn → Rq×n, D ∶ Rn → Rq×m.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 7/37

Page 11: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

System Classes

Control-Affine (Autonomous) Systems

x(t) = f (t, x ,u) = A(x(t)) + B(x(t))u(t), A ∶ Rn → Rn×n, B ∶ Rn → Rn×m,

y(t) = g(t, x ,u) = C(x(t)) +D(x(t))u(t), C ∶ Rn → Rq×n, D ∶ Rn → Rq×m.

Linear, Time-Invariant (LTI) Systems

x(t) = f (t, x ,u) = Ax(t) +Bu(t), A ∈ Rn×n, B ∈ Rn×m,

y(t) = g(t, x ,u) = Cx(t) +Du(t), C ∈ Rq×n, D ∈ Rq×m.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 7/37

Page 12: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

System Classes

Control-Affine (Autonomous) Systems

x(t) = f (t, x ,u) = A(x(t)) + B(x(t))u(t), A ∶ Rn → Rn×n, B ∶ Rn → Rn×m,

y(t) = g(t, x ,u) = C(x(t)) +D(x(t))u(t), C ∶ Rn → Rq×n, D ∶ Rn → Rq×m.

Linear, Time-Invariant (LTI) Systems

x(t) = f (t, x ,u) = Ax(t) +Bu(t), A ∈ Rn×n, B ∈ Rn×m,

y(t) = g(t, x ,u) = Cx(t) +Du(t), C ∈ Rq×n, D ∈ Rq×m.

Bilinear Systems

x(t) = f (t, x ,u) = Ax(t) +∑mi=1 ui(t)Aix(t) +Bu(t), A,Ai ∈ Rn×n, B ∈ Rn×m,

y(t) = g(t, x ,u) = Cx(t) +Du(t), C ∈ Rq×n, D ∈ Rq×m.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 7/37

Page 13: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

System Classes

Linear, Time-Invariant (LTI) Systems

x(t) = f (t, x ,u) = Ax(t) +Bu(t), A ∈ Rn×n, B ∈ Rn×m,

y(t) = g(t, x ,u) = Cx(t) +Du(t), C ∈ Rq×n, D ∈ Rq×m.

Bilinear Systems

x(t) = f (t, x ,u) = Ax(t) +∑mi=1 ui(t)Aix(t) +Bu(t), A,Ai ∈ Rn×n, B ∈ Rn×m,

y(t) = g(t, x ,u) = Cx(t) +Du(t), C ∈ Rq×n, D ∈ Rq×m.

Quadratic-Bilinear (QB) Systems

x(t) = f (t, x ,u) = Ax(t) +H (x(t)⊗ x(t)) +∑mi=1 ui(t)Aix(t) +Bu(t),

A,Ai ∈ Rn×n, H ∈ Rn×n2

, B ∈ Rn×m,

y(t) = g(t, x ,u) = Cx(t) +Du(t), C ∈ Rq×n, D ∈ Rq×m.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 7/37

Page 14: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

System Classes

Control-Affine (Autonomous) Systems

x(t) = f (t, x ,u) = A(x(t)) + B(x(t))u(t), A ∶ Rn → Rn×n, B ∶ Rn → Rn×m,

y(t) = g(t, x ,u) = C(x(t)) +D(x(t))u(t), C ∶ Rn → Rq×n, D ∶ Rn → Rq×m.

Quadratic-Bilinear (QB) Systems

x(t) = f (t, x ,u) = Ax(t) +H (x(t)⊗ x(t)) +∑mi=1 ui(t)Aix(t) +Bu(t),

A,Ai ∈ Rn×n, H ∈ Rn×n2

, B ∈ Rn×m,

y(t) = g(t, x ,u) = Cx(t) +Du(t), C ∈ Rq×n, D ∈ Rq×m.

Written in control-affine form:

A(x) ∶= Ax +H (x ⊗ x) , B(x) ∶= [A1, . . . ,Am] (Im ⊗ x) +B

C(x) ∶= Cx , D(x) ∶= Dx .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 7/37

Page 15: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Carleman Bilinearization

Consider smooth nonlinear, control-affine system with m = 1:

x = A(x) +Bu with A(0) = 0,

y = Cx +Du.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 8/37

Page 16: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Carleman Bilinearization

Consider smooth nonlinear, control-affine system with m = 1:

x = A(x) +Bu with A(0) = 0.

Taylor expansion of state equation about x = 0 yields

x = Ax +H (x ⊗ x) + . . . +Bu.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 8/37

Page 17: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Carleman Bilinearization

Consider smooth nonlinear, control-affine system with m = 1:

x = A(x) +Bu with A(0) = 0.

Taylor expansion of state equation about x = 0 yields

x = Ax +H (x ⊗ x) + . . . +Bu.

Instead of truncating Taylor expansion, Carleman (bi)linearization takes into account Khigher order terms (h.o.t.) by introducing new variables:

x(k) ∶= x ⊗ ⋯ ⊗´¹¹¹¹¹¹¹¸¹¹¹¹¹¹¹¶

(k−1) times

x , k = 1, . . . ,K .

Here: K = 2, i.e., z ∶= x(2) = x ⊗ x .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 8/37

Page 18: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Carleman Bilinearization

Consider smooth nonlinear, control-affine system with m = 1:

x = A(x) +Bu with A(0) = 0.

Taylor expansion of state equation about x = 0 yields

x = Ax +H (x ⊗ x) + . . . +Bu.

Instead of truncating Taylor expansion, Carleman (bi)linearization takes into accountK = 2 higher order terms (h.o.t.) by introducing new variables: z ∶= x(2) = x ⊗ x .Then z satisfies

z = x ⊗ x + x ⊗ x = (Ax +Hz + . . . +Bu)⊗ x + x ⊗ (Ax +Hz + . . . +Bu)

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 8/37

Page 19: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Carleman Bilinearization

Consider smooth nonlinear, control-affine system with m = 1:

x = A(x) +Bu with A(0) = 0,

y = Cx +Du.

Instead of truncating Taylor expansion, Carleman (bi)linearization takes into accountK = 2 higher order terms (h.o.t.) by introducing new variables: z ∶= x(2) = x ⊗ x .Then z satisfies

z = x ⊗ x + x ⊗ x = (Ax +Hz + . . . +Bu)⊗ x + x ⊗ (Ax +Hz + . . . +Bu)

Ignoring h.o.t. Ô⇒ bilinear system with state x⊗ ∶= [xT , zT ]T ∈ Rn+n2

:

d

dtx⊗ = [A H

0 A⊗ In + In ⊗A] x⊗ + [ 0 0

B ⊗ In + In ⊗B 0] (x⊗)u + [B

0]u

y⊗ = [C 0] x⊗ +Du.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 8/37

Page 20: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Carleman Bilinearization

Consider smooth nonlinear, control-affine system with m = 1:

x = A(x) +Bu with A(0) = 0,

y = Cx +Du.

Instead of truncating Taylor expansion, Carleman (bi)linearization takes into accountK = 2 higher order terms (h.o.t.) by introducing new variables: z ∶= x(2) = x ⊗ x .Then z satisfies

z = x ⊗ x + x ⊗ x = (Ax +Hz + . . . +Bu)⊗ x + x ⊗ (Ax +Hz + . . . +Bu)

Ignoring h.o.t. Ô⇒ bilinear system with state x⊗ ∶= [xT , zT ]T ∈ Rn+n2

:

d

dtx⊗ = [A H

0 A⊗ In + In ⊗A] x⊗ + [ 0 0

B ⊗ In + In ⊗B 0] (x⊗)u + [B

0]u

y⊗ = [C 0] x⊗ +Du.

Remark

Bilinear systems directly occur, e.g., in biological systems, PDE control problems withmixed boundary conditions, ”control via coefficients”, networked control systems, . . .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 8/37

Page 21: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Quadratic-Bilinearization

QB systems can be obtained as approximation (by truncating Taylor expansion) toweakly nonlinear systems [Phillips ’03].

But exact representation of smooth nonlinear systems possible:

Theorem [Gu ’09/’11]

Assume that the state equation of a nonlinear system is given by

x = a0x + a1g1(x) + . . . + akgk(x) +Bu,

where gi(x) ∶ Rn → Rn are compositions of uni-variable rational, exponential, logarithmic,trigonometric or root functions, respectively. Then, by iteratively taking derivatives andadding algebraic equations, respectively, the nonlinear system can be transformed into aQB(DAE) system.

C. Gu. QLMOR: A Projection-Based Nonlinear Model Order Reduction Approach Using Quadratic-Linear Representation of Nonlinear Systems. IEEETransactions on Computer-Aided Design of Integrated Circuits and Systems, 30(9):1307–1320, 2011.

L. Feng, X. Zeng, C. Chiang, D. Zhou, and Q. Fang. Direct nonlinear order reduction with variational analysis. In: Proceedings of DATE 2004,pp. 1316-1321.

J. R. Phillips. Projection-based approaches for model reduction of weakly nonlinear time-varying systems. IEEE Transactions onComputer-Aided Design of Integrated Circuits and Systems, 22(2):171-187, 2003.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 9/37

Page 22: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Quadratic-Bilinearization

QB systems can be obtained as approximation (by truncating Taylor expansion) toweakly nonlinear systems [Phillips ’03].

But exact representation of smooth nonlinear systems possible:

Theorem [Gu ’09/’11]

Assume that the state equation of a nonlinear system is given by

x = a0x + a1g1(x) + . . . + akgk(x) +Bu,

where gi(x) ∶ Rn → Rn are compositions of uni-variable rational, exponential, logarithmic,trigonometric or root functions, respectively. Then, by iteratively taking derivatives andadding algebraic equations, respectively, the nonlinear system can be transformed into aQB(DAE) system.

C. Gu. QLMOR: A Projection-Based Nonlinear Model Order Reduction Approach Using Quadratic-Linear Representation of Nonlinear Systems. IEEETransactions on Computer-Aided Design of Integrated Circuits and Systems, 30(9):1307–1320, 2011.

L. Feng, X. Zeng, C. Chiang, D. Zhou, and Q. Fang. Direct nonlinear order reduction with variational analysis. In: Proceedings of DATE 2004,pp. 1316-1321.

J. R. Phillips. Projection-based approaches for model reduction of weakly nonlinear time-varying systems. IEEE Transactions onComputer-Aided Design of Integrated Circuits and Systems, 22(2):171-187, 2003.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 9/37

Page 23: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Quadratic-Bilinearization

McCormick Relaxation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Idea borrowed from non-convex optimization:

Lift to higher dimensions using const. ⋅ n additional variables,

convex relaxation.

Example

x1 = exp(−x2) ⋅√x2

1 + 1, x2 = −x2 + u.

z1 ∶= exp(−x2), z2 ∶=√x2

1 + 1.

x1 = z1 ⋅ z2, x2 = −x2 + u,

z1 = −z1 ⋅ (−x2 + u), z2 = 2⋅x1⋅z1⋅z2

2⋅z2= x1 ⋅ z1.

Alternatively, polynomial-bilinear system can be obtained using iterated Liebrackets [Gu ’11].

G. P. McCormick. Computability of global solutions to factorable nonconvex programs: Part I, convexunderestimating problems. Mathematical Programming, 10(1):147-175, 1976.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 10/37

Page 24: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Quadratic-Bilinearization

McCormick Relaxation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Idea borrowed from non-convex optimization:

Lift to higher dimensions using const. ⋅ n additional variables,

convex relaxation.

Example

x1 = exp(−x2) ⋅√x2

1 + 1, x2 = −x2 + u.

z1 ∶= exp(−x2), z2 ∶=√x2

1 + 1.

x1 = z1 ⋅ z2, x2 = −x2 + u,

z1 = −z1 ⋅ (−x2 + u), z2 = 2⋅x1⋅z1⋅z2

2⋅z2= x1 ⋅ z1.

Alternatively, polynomial-bilinear system can be obtained using iterated Liebrackets [Gu ’11].

G. P. McCormick. Computability of global solutions to factorable nonconvex programs: Part I, convexunderestimating problems. Mathematical Programming, 10(1):147-175, 1976.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 10/37

Page 25: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Quadratic-Bilinearization

McCormick Relaxation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Idea borrowed from non-convex optimization:

Lift to higher dimensions using const. ⋅ n additional variables,

convex relaxation.

Example

x1 = exp(−x2) ⋅√x2

1 + 1, x2 = −x2 + u.

z1 ∶= exp(−x2), z2 ∶=√x2

1 + 1.

x1 = z1 ⋅ z2, x2 = −x2 + u,

z1 = −z1 ⋅ (−x2 + u), z2 = 2⋅x1⋅z1⋅z2

2⋅z2= x1 ⋅ z1.

Alternatively, polynomial-bilinear system can be obtained using iterated Liebrackets [Gu ’11].

G. P. McCormick. Computability of global solutions to factorable nonconvex programs: Part I, convexunderestimating problems. Mathematical Programming, 10(1):147-175, 1976.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 10/37

Page 26: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Quadratic-Bilinearization

McCormick Relaxation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Idea borrowed from non-convex optimization:

Lift to higher dimensions using const. ⋅ n additional variables,

convex relaxation.

Example

x1 = exp(−x2) ⋅√x2

1 + 1, x2 = −x2 + u.

z1 ∶= exp(−x2), z2 ∶=√x2

1 + 1.

x1 = z1 ⋅ z2, x2 = −x2 + u,

z1 = −z1 ⋅ (−x2 + u), z2 = 2⋅x1⋅z1⋅z2

2⋅z2= x1 ⋅ z1.

Alternatively, polynomial-bilinear system can be obtained using iterated Liebrackets [Gu ’11].

G. P. McCormick. Computability of global solutions to factorable nonconvex programs: Part I, convexunderestimating problems. Mathematical Programming, 10(1):147-175, 1976.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 10/37

Page 27: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Quadratic-Bilinearization

McCormick Relaxation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Idea borrowed from non-convex optimization:

Lift to higher dimensions using const. ⋅ n additional variables,

convex relaxation.

Example

x1 = exp(−x2) ⋅√x2

1 + 1, x2 = −x2 + u.

z1 ∶= exp(−x2), z2 ∶=√x2

1 + 1.

x1 = z1 ⋅ z2, x2 = −x2 + u,

z1 = −z1 ⋅ (−x2 + u), z2 = 2⋅x1⋅z1⋅z2

2⋅z2= x1 ⋅ z1.

Alternatively, polynomial-bilinear system can be obtained using iterated Liebrackets [Gu ’11].

G. P. McCormick. Computability of global solutions to factorable nonconvex programs: Part I, convexunderestimating problems. Mathematical Programming, 10(1):147-175, 1976.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 10/37

Page 28: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Quadratic-Bilinearization

McCormick Relaxation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Idea borrowed from non-convex optimization:

Lift to higher dimensions using const. ⋅ n additional variables,

convex relaxation.

Example

x1 = exp(−x2) ⋅√x2

1 + 1, x2 = −x2 + u.

z1 ∶= exp(−x2), z2 ∶=√x2

1 + 1.

x1 = z1 ⋅ z2, x2 = −x2 + u,

z1 = −z1 ⋅ (−x2 + u), z2 = 2⋅x1⋅z1⋅z2

2⋅z2= x1 ⋅ z1.

Alternatively, polynomial-bilinear system can be obtained using iterated Liebrackets [Gu ’11].

G. P. McCormick. Computability of global solutions to factorable nonconvex programs: Part I, convexunderestimating problems. Mathematical Programming, 10(1):147-175, 1976.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 10/37

Page 29: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Some QB-transformable Systems

FitzHugh-Nagumo model

Model describes activation andde-activation of neurons.

It contains a cubic nonlinearity,which can be transformed to QBform.

Sine-Gordon equation

Applications in biomedical studies,mechanical transmission lines, etc.

It contains sin function, which canalso be rewritten into QB form.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 11/37

Page 30: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Linear Systems and their Transfer Functions

The Laplace transform. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Definition

The Laplace transform of a time domain function f ∈ L1,loc with dom (f ) = R+0 is

L ∶ f ↦ F , F (s) ∶= L{f (t)}(s) ∶= ∫∞

0e−st f (t)dt, s ∈ C.

F is a function in the (Laplace or) frequency domain.

Note: With Rs = 0 and Is ≥ 0, ω ∶= Is takes the role of a frequency (in [rad/s], i.e.,ω = 2πν with ν measured in [Hz]).

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 12/37

Page 31: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Linear Systems and their Transfer Functions

The Laplace transform. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Definition

The Laplace transform of a time domain function f ∈ L1,loc with dom (f ) = R+0 is

L ∶ f ↦ F , F (s) ∶= L{f (t)}(s) ∶= ∫∞

0e−st f (t)dt, s ∈ C.

F is a function in the (Laplace or) frequency domain.

Note: With Rs = 0 and Is ≥ 0, ω ∶= Is takes the role of a frequency (in [rad/s], i.e.,ω = 2πν with ν measured in [Hz]).

Lemma

L{f (t)}(s) = sF(s) − f (0).

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 12/37

Page 32: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Linear Systems and their Transfer Functions

The Laplace transform. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Definition

The Laplace transform of a time domain function f ∈ L1,loc with dom (f ) = R+0 is

L ∶ f ↦ F , F (s) ∶= L{f (t)}(s) ∶= ∫∞

0e−st f (t)dt, s ∈ C.

F is a function in the (Laplace or) frequency domain.

Lemma

L{f (t)}(s) = sF (s) − f (0).

Note: for ease of notation, in the following we will use lower-case letters for both,a function and its Laplace transform!

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 12/37

Page 33: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Linear Systems and their Transfer Functions

Transfer functions of linear systems. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Linear Systems in Frequency Domain

Application of Laplace transform (x(t)↦ x(s), x(t)↦ sx(s) − x(0)) to linear system

x(t) = Ax(t) +Bu(t), y(t) = Cx(t) +Du(t)

with x(0) = 0 yields:

sx(s) = Ax(s) +Bu(s), y(s) = Cx(s) +Du(s),

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 13/37

Page 34: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Linear Systems and their Transfer Functions

Transfer functions of linear systems. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Linear Systems in Frequency Domain

Application of Laplace transform (x(t)↦ x(s), x(t)↦ sx(s) − x(0)) to linear system

x(t) = Ax(t) +Bu(t), y(t) = Cx(t) +Du(t)

with x(0) = 0 yields:

sx(s) = Ax(s) +Bu(s), y(s) = Cx(s) +Du(s),

Ô⇒ I/O-relation in frequency domain:

y(s) = (C(sIn −A)−1B +D´¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¸¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¶

=∶G(s)

)u(s).

G(s) is the transfer function of Σ.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 13/37

Page 35: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Linear Systems and their Transfer Functions

Transfer functions of linear systems. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Linear Systems in Frequency Domain

Application of Laplace transform (x(t)↦ x(s), x(t)↦ sx(s) − x(0)) to linear system

x(t) = Ax(t) +Bu(t), y(t) = Cx(t) +Du(t)

with x(0) = 0 yields:

sx(s) = Ax(s) +Bu(s), y(s) = Cx(s) +Du(s),

Ô⇒ I/O-relation in frequency domain:

y(s) = (C(sIn −A)−1B +D´¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¸¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¹¶

=∶G(s)

)u(s).

G(s) is the transfer function of Σ.

Model reduction in frequency domain: Fast evaluation of mapping u → y .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 13/37

Page 36: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Linear Systems and their Transfer Functions

Formulating model reduction in frequency domain

Approximate the dynamical system

x = Ax +Bu, A ∈ Rn×n, B ∈ Rn×m,y = Cx +Du, C ∈ Rq×n, D ∈ Rq×m,

by reduced-order system

˙x = Ax + Bu, A ∈ Rr×r , B ∈ Rr×m,

y = C x + Du, C ∈ Rq×r , D ∈ Rq×m

of order r ≪ n, such that

∥y − y∥ = ∥Gu − Gu∥ ≤ ∥G − G∥ ⋅ ∥u∥ < tolerance ⋅ ∥u∥.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 13/37

Page 37: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Linear Systems and their Transfer Functions

Formulating model reduction in frequency domain

Approximate the dynamical system

x = Ax +Bu, A ∈ Rn×n, B ∈ Rn×m,y = Cx +Du, C ∈ Rq×n, D ∈ Rq×m,

by reduced-order system

˙x = Ax + Bu, A ∈ Rr×r , B ∈ Rr×m,

y = C x + Du, C ∈ Rq×r , D ∈ Rq×m

of order r ≪ n, such that

∥y − y∥ = ∥Gu − Gu∥ ≤ ∥G − G∥ ⋅ ∥u∥ < tolerance ⋅ ∥u∥.

Ô⇒ Approximation problem: minorder (G)≤r

∥G − G∥.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 13/37

Page 38: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Outline

1. Introduction

2. Model Reduction for Linear SystemsBalanced Truncation for Linear SystemsInterpolatory Model Reduction

3. Balanced Truncation for Nonlinear Systems

4. Rational Interpolation for Nonlinear Systems

5. References

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 14/37

Page 39: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Basic concept

System Σ ∶ {x(t) = Ax(t) +Bu(t),y(t) = Cx(t),

with A stable, i.e., Λ (A) ⊂ C−,

is balanced, if system Gramians, i.e., solutions P,Q of the Lyapunov equations

AP + PAT +BBT = 0, ATQ +QA + CTC = 0,

satisfy: P = Q = diag(σ1, . . . , σn) with σ1 ≥ σ2 ≥ . . . ≥ σn > 0.

{σ1, . . . , σn} are the Hankel singular values (HSVs) of Σ.

Compute balanced realization (needs P,Q!) of the system via state-spacetransformation

T ∶ (A,B,C) ↦ (TAT−1,TB,CT−1)

= ([ A11 A12

A21 A22] , [ B1

B2] , [ C1 C2 ]) .

Truncation ; (A, B, C) = (A11,B1,C1).

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 40: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Basic concept

System Σ ∶ {x(t) = Ax(t) +Bu(t),y(t) = Cx(t),

with A stable, i.e., Λ (A) ⊂ C−,

is balanced, if system Gramians, i.e., solutions P,Q of the Lyapunov equations

AP + PAT +BBT = 0, ATQ +QA + CTC = 0,

satisfy: P = Q = diag(σ1, . . . , σn) with σ1 ≥ σ2 ≥ . . . ≥ σn > 0.

{σ1, . . . , σn} are the Hankel singular values (HSVs) of Σ.

Compute balanced realization (needs P,Q!) of the system via state-spacetransformation

T ∶ (A,B,C) ↦ (TAT−1,TB,CT−1)

= ([ A11 A12

A21 A22] , [ B1

B2] , [ C1 C2 ]) .

Truncation ; (A, B, C) = (A11,B1,C1).

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 41: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Basic concept

System Σ ∶ {x(t) = Ax(t) +Bu(t),y(t) = Cx(t),

with A stable, i.e., Λ (A) ⊂ C−,

is balanced, if system Gramians, i.e., solutions P,Q of the Lyapunov equations

AP + PAT +BBT = 0, ATQ +QA + CTC = 0,

satisfy: P = Q = diag(σ1, . . . , σn) with σ1 ≥ σ2 ≥ . . . ≥ σn > 0.

{σ1, . . . , σn} are the Hankel singular values (HSVs) of Σ.

Compute balanced realization (needs P,Q!) of the system via state-spacetransformation

T ∶ (A,B,C) ↦ (TAT−1,TB,CT−1)

= ([ A11 A12

A21 A22] , [ B1

B2] , [ C1 C2 ]) .

Truncation ; (A, B, C) = (A11,B1,C1).

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 42: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Basic concept

System Σ ∶ {x(t) = Ax(t) +Bu(t),y(t) = Cx(t),

with A stable, i.e., Λ (A) ⊂ C−,

is balanced, if system Gramians, i.e., solutions P,Q of the Lyapunov equations

AP + PAT +BBT = 0, ATQ +QA + CTC = 0,

satisfy: P = Q = diag(σ1, . . . , σn) with σ1 ≥ σ2 ≥ . . . ≥ σn > 0.

{σ1, . . . , σn} are the Hankel singular values (HSVs) of Σ.

Compute balanced realization (needs P,Q!) of the system via state-spacetransformation

T ∶ (A,B,C) ↦ (TAT−1,TB,CT−1)

= ([ A11 A12

A21 A22] , [ B1

B2] , [ C1 C2 ]) .

Truncation ; (A, B, C) = (A11,B1,C1).

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 43: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Motivation:

HSV are system invariants: they are preserved under T and determine the energytransfer given by the Hankel map

H ∶ L2(−∞,0)↦ L2(0,∞) ∶ u− ↦ y+.

”functional analyst’s point of view”

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 44: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Motivation:

HSV are system invariants: they are preserved under T and determine the energytransfer given by the Hankel map

H ∶ L2(−∞,0)↦ L2(0,∞) ∶ u− ↦ y+.

”functional analyst’s point of view”

Minimum energy to reach x0 in balanced coordinates:

infu∈L2(−∞,0]

x(0)=x0

∫0

−∞u(t)Tu(t)dt = xT

0 P−1x0 =n

∑j=1

1

σjx2

0,j

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 45: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Motivation:

HSV are system invariants: they are preserved under T and determine the energytransfer given by the Hankel map

H ∶ L2(−∞,0)↦ L2(0,∞) ∶ u− ↦ y+.

”functional analyst’s point of view”

Minimum energy to reach x0 in balanced coordinates:

infu∈L2(−∞,0]

x(0)=x0

∫0

−∞u(t)Tu(t)dt = xT

0 P−1x0 =n

∑j=1

1

σjx2

0,j

Energy contained in the system if x(0) = x0 and u(t) ≡ 0 in balanced coordinates:

∥y∥22 = ∫

0y(t)T y(t)dt = xT

0 Qx0 =n

∑j=1

σjx20,j

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 46: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Motivation:

HSV are system invariants: they are preserved under T and determine the energytransfer given by the Hankel map

H ∶ L2(−∞,0)↦ L2(0,∞) ∶ u− ↦ y+.

”functional analyst’s point of view”

In balanced coordinates, energy transfer from u− to y+ is

E ∶= supu∈L2(−∞,0]

x(0)=x0

∞∫0

y(t)T y(t)dt

0

∫−∞

u(t)Tu(t)dt= 1

∥x0∥2

n

∑j=1

σ2j x

20,j .

”engineer’s point of view”

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 47: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Motivation:

HSV are system invariants: they are preserved under T and determine the energytransfer given by the Hankel map

H ∶ L2(−∞,0)↦ L2(0,∞) ∶ u− ↦ y+.

”functional analyst’s point of view”

In balanced coordinates, energy transfer from u− to y+ is

E ∶= supu∈L2(−∞,0]

x(0)=x0

∞∫0

y(t)T y(t)dt

0

∫−∞

u(t)Tu(t)dt= 1

∥x0∥2

n

∑j=1

σ2j x

20,j .

”engineer’s point of view”

Ô⇒ Truncate states corresponding to “small” HSVs

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 48: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Properties

Reduced-order model is stable with HSVs σ1, . . . , σr .

Adaptive choice of r via computable error bound:

∥y − y∥2 ≤ ∥G − G∥H∞∥u∥2 ≤ (2∑n

k=r+1σk) ∥u∥2.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 49: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Properties

Reduced-order model is stable with HSVs σ1, . . . , σr .

Adaptive choice of r via computable error bound:

∥y − y∥2 ≤ ∥G − G∥H∞∥u∥2 ≤ (2∑n

k=r+1σk) ∥u∥2.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 50: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation for Linear Systems

Properties

Reduced-order model is stable with HSVs σ1, . . . , σr .

Adaptive choice of r via computable error bound:

∥y − y∥2 ≤ ∥G − G∥H∞∥u∥2 ≤ (2∑n

k=r+1σk) ∥u∥2.

Practical implementation

Rather than solving Lyapunov equations for P,Q (n2 unknowns!), findS ,R ∈ Rn×s with s ≪ n such that P ≈ SST , Q ≈ RRT .

Reduced-order model directly obtained via small-scale (s × s) SVD of RTS!

No O(n3) or O(n2) computations necessary!

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 15/37

Page 51: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Interpolatory Model Reduction

Computation of reduced-order model by projection

Given linear (descriptor) system Ex = Ax +Bu, y = Cx with transfer function

G(s) = C(sE −A)−1B,

a ROM is obtained using truncation matrices V ,W ∈ Rn×r with W TV = Ir(; (VW T )2 = VW T is projector) by computing

E =W TEV , A =W TAV , B =W TB, C = CV .

Petrov-Galerkin-type (two-sided) projection: W /= V ,

Galerkin-type (one-sided) projection: W = V .

Recent developments:

Adaptive choice of interpolation points and number of moments to be matched based ondual-weighted residual based error estimate!

L. Feng, J. G. Korvink, P. Benner.

A Fully Adaptive Scheme for Model Order Reduction Based on Moment-Matching. IEEE Transactions onComponents, Packaging, and Manufacturing Technology, 5(12):1872–1884, 2015.

L. Feng, A. C. Antoulas, P. Benner.

Some a posteriori error bounds for reduced order modelling of (non-)parametrized linear systems. MPIMagdeburg Preprints MPIMD/15-17, October 2015.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 16/37

Page 52: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Interpolatory Model Reduction

Computation of reduced-order model by projection

Given linear (descriptor) system Ex = Ax +Bu, y = Cx with transfer function

G(s) = C(sE −A)−1B,

a ROM is obtained using truncation matrices V ,W ∈ Rn×r with W TV = Ir(; (VW T )2 = VW T is projector) by computing

E =W TEV , A =W TAV , B =W TB, C = CV .

Petrov-Galerkin-type (two-sided) projection: W /= V ,

Galerkin-type (one-sided) projection: W = V .

Rational Interpolation/Moment-Matching

Choose V ,W such thatG(sj) = G(sj), j = 1, . . . , k,

andd i

ds iG(sj) =

d i

ds iG(sj), i = 1, . . . ,Kj , j = 1, . . . , k.

Recent developments:

Adaptive choice of interpolation points and number of moments to be matched based ondual-weighted residual based error estimate!

L. Feng, J. G. Korvink, P. Benner.

A Fully Adaptive Scheme for Model Order Reduction Based on Moment-Matching. IEEE Transactions onComponents, Packaging, and Manufacturing Technology, 5(12):1872–1884, 2015.

L. Feng, A. C. Antoulas, P. Benner.

Some a posteriori error bounds for reduced order modelling of (non-)parametrized linear systems. MPIMagdeburg Preprints MPIMD/15-17, October 2015.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 16/37

Page 53: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Interpolatory Model Reduction

Theorem (simplified) [Grimme ’97, Villemagne/Skelton ’87]

If

span{(s1E −A)−1B, . . . , (skE −A)−1B} ⊂ Ran(V ),

span{(s1E −A)−TCT , . . . , (skE −A)−TCT} ⊂ Ran(W ),

then

G(sj) = G(sj),d

dsG(sj) =

d

dsG(sj), for j = 1, . . . , k.

Recent developments:

Adaptive choice of interpolation points and number of moments to be matched based ondual-weighted residual based error estimate!

L. Feng, J. G. Korvink, P. Benner.

A Fully Adaptive Scheme for Model Order Reduction Based on Moment-Matching. IEEE Transactions onComponents, Packaging, and Manufacturing Technology, 5(12):1872–1884, 2015.

L. Feng, A. C. Antoulas, P. Benner.

Some a posteriori error bounds for reduced order modelling of (non-)parametrized linear systems. MPIMagdeburg Preprints MPIMD/15-17, October 2015.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 16/37

Page 54: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Interpolatory Model Reduction

Theorem (simplified) [Grimme ’97, Villemagne/Skelton ’87]

If

span{(s1E −A)−1B, . . . , (skE −A)−1B} ⊂ Ran(V ),

span{(s1E −A)−TCT , . . . , (skE −A)−TCT} ⊂ Ran(W ),

then

G(sj) = G(sj),d

dsG(sj) =

d

dsG(sj), for j = 1, . . . , k.

Remarks:

computation of V ,W from rational Krylov subspaces, e.g.,

– dual rational Arnoldi/Lanczos [Grimme ’97],

– Iterative Rational Krylov Algorithm (IRKA) computes H2-optimal model of givenorder r , i.e., solves transfer function approximation problem in H2-norm, usingtangential rational interpolation [Antoulas/Beattie/Gugercin ’06/’08].

Recent developments:

Adaptive choice of interpolation points and number of moments to be matched based ondual-weighted residual based error estimate!

L. Feng, J. G. Korvink, P. Benner.

A Fully Adaptive Scheme for Model Order Reduction Based on Moment-Matching. IEEE Transactions onComponents, Packaging, and Manufacturing Technology, 5(12):1872–1884, 2015.

L. Feng, A. C. Antoulas, P. Benner.

Some a posteriori error bounds for reduced order modelling of (non-)parametrized linear systems. MPIMagdeburg Preprints MPIMD/15-17, October 2015.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 16/37

Page 55: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Interpolatory Model Reduction

Theorem (simplified) [Grimme ’97, Villemagne/Skelton ’87]

If

span{(s1E −A)−1B, . . . , (skE −A)−1B} ⊂ Ran(V ),

span{(s1E −A)−TCT , . . . , (skE −A)−TCT} ⊂ Ran(W ),

then

G(sj) = G(sj),d

dsG(sj) =

d

dsG(sj), for j = 1, . . . , k.

Remarks:

using Galerkin/one-sided projection (W ≡ V ) yields G(sj) = G(sj), but in general

d

dsG(sj) /= d

dsG(sj).

Recent developments:

Adaptive choice of interpolation points and number of moments to be matched based ondual-weighted residual based error estimate!

L. Feng, J. G. Korvink, P. Benner.

A Fully Adaptive Scheme for Model Order Reduction Based on Moment-Matching. IEEE Transactions onComponents, Packaging, and Manufacturing Technology, 5(12):1872–1884, 2015.

L. Feng, A. C. Antoulas, P. Benner.

Some a posteriori error bounds for reduced order modelling of (non-)parametrized linear systems. MPIMagdeburg Preprints MPIMD/15-17, October 2015.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 16/37

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Interpolatory Model Reduction

Theorem (simplified) [Grimme ’97, Villemagne/Skelton ’87]

If

span{(s1E −A)−1B, . . . , (skE −A)−1B} ⊂ Ran(V ),

span{(s1E −A)−TCT , . . . , (skE −A)−TCT} ⊂ Ran(W ),

then

G(sj) = G(sj),d

dsG(sj) =

d

dsG(sj), for j = 1, . . . , k.

Remarks:

k = 1, standard Krylov subspace(s) of dimension K :

range (V ) = KK((s1E −A)−1, (s1E −A)−1B).; moment-matching methods/Pade approximation [Freund/Feldmann ’95],

d i

ds iG(s1) =

d i

ds iG(s1), i = 0, . . . ,K − 1(+K).

Recent developments:

Adaptive choice of interpolation points and number of moments to be matched based ondual-weighted residual based error estimate!

L. Feng, J. G. Korvink, P. Benner.

A Fully Adaptive Scheme for Model Order Reduction Based on Moment-Matching. IEEE Transactions onComponents, Packaging, and Manufacturing Technology, 5(12):1872–1884, 2015.

L. Feng, A. C. Antoulas, P. Benner.

Some a posteriori error bounds for reduced order modelling of (non-)parametrized linear systems. MPIMagdeburg Preprints MPIMD/15-17, October 2015.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 16/37

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Interpolatory Model Reduction

Remarks:

k = 1, standard Krylov subspace(s) of dimension K :

range (V ) = KK((s1E −A)−1, (s1E −A)−1B).; moment-matching methods/Pade approximation [Freund/Feldmann ’95],

d i

ds iG(s1) =

d i

ds iG(s1), i = 0, . . . ,K − 1(+K).

Recent developments:

Adaptive choice of interpolation points and number of moments to be matched based ondual-weighted residual based error estimate!

L. Feng, J. G. Korvink, P. Benner.

A Fully Adaptive Scheme for Model Order Reduction Based on Moment-Matching. IEEE Transactions onComponents, Packaging, and Manufacturing Technology, 5(12):1872–1884, 2015.

L. Feng, A. C. Antoulas, P. Benner.

Some a posteriori error bounds for reduced order modelling of (non-)parametrized linear systems. MPIMagdeburg Preprints MPIMD/15-17, October 2015.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 16/37

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Outline

1. Introduction

2. Model Reduction for Linear Systems

3. Balanced Truncation for Nonlinear SystemsGramians for QB SystemsTruncated GramiansNumerical Results

4. Rational Interpolation for Nonlinear Systems

5. References

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 17/37

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Balanced Truncation for Nonlinear Systems

Approaches. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Nonlinear balancing based on energy functionals [Scherpen ’93, Gray/Mesko ’96].

Definition [Scherpen ’93, Gray/Mesko ’96]

The reachability energy functional, Lc(x0), and observability energy functional, Lo(x0) ofa system are given as:

Lc(x0) = infu∈L2(−∞,0]

x(−∞)=0, x(0)=x0

1

2 ∫0

−∞∥u(t)∥2dt, Lo(x0) =

1

2 ∫∞

0∥y(t)∥2dt.

Disadvantage: energy functionals are the solutions of nonlinear Hamilton-Jacobiequations which are hardly solvable for large-scale systems.

Empirical Gramians/frequency-domain POD [Lall et al ’99, Willcox/Peraire ’02].

Disadvantage: Depends on chosen training input (e.g., δ(t0)) like other PODapproaches.

; Goal: computationally efficient and input-independent method!

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Balanced Truncation for Nonlinear Systems

Approaches. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Nonlinear balancing based on energy functionals [Scherpen ’93, Gray/Mesko ’96].

Disadvantage: energy functionals are the solutions of nonlinear Hamilton-Jacobiequations which are hardly solvable for large-scale systems.

Empirical Gramians/frequency-domain POD [Lall et al ’99, Willcox/Peraire ’02].

Example: controllability Gramian from time domain data (snapshots)

1. Define reachability Gramian of the system

P = ∫∞

0 x(t)x(t)Tdt, where x(t) solves x = f (x , δ), x(0) = x0.

2. Use time-domain integrator to produce snapshots xk ≈ x(tk), k = 1, . . . ,K .3. Approximate P ≈ ∑K

k=0 wkxkxTk with positive weights wk .

4. Analogously for observability Gramian.5. Compute balancing transformation and apply it to nonlinear system.

Disadvantage: Depends on chosen training input (e.g., δ(t0)) like other PODapproaches.

; Goal: computationally efficient and input-independent method!

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 18/37

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Balanced Truncation for Nonlinear Systems

Approaches. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Nonlinear balancing based on energy functionals [Scherpen ’93, Gray/Mesko ’96].

Disadvantage: energy functionals are the solutions of nonlinear Hamilton-Jacobiequations which are hardly solvable for large-scale systems.

Empirical Gramians/frequency-domain POD [Lall et al ’99, Willcox/Peraire ’02].

Disadvantage: Depends on chosen training input (e.g., δ(t0)) like other PODapproaches.

; Goal: computationally efficient and input-independent method!

W. S. Gray and J. P. Mesko. Controllability and observability functions for model reduction of nonlinear systems. In Proc. of the Conf. on InformationSci. and Sys., pp. 1244–1249, 1996.

S. Lall, J. Marsden, and S. Glavaski. A subspace approach to balanced truncation for model reduction of nonlinear control systems. InternationalJournal of Robust and Nonlinear Control, 12:519-535, 2002.

J. M. A. Scherpen. Balancing for nonlinear systems. Systems & Control Letters, 21:143–153, 1993.

K. Willcox and J. Peraire, Balanced model reduction via the proper orthogonal decomposition. AIAA Journal, 40:2323-2330, 2002.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 18/37

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New ”Gramians”

A possible solution is to obtain bounds for the energy functionals, instead ofcomputing them exactly.

For example, (locally) Lc(x0) ≥1

2xT

0 P−1x0, where P = PT > 0 [Gray/Mesko ’96].

For bilinear systems, such local bounds were derived in [B./Damm ’11] using thesolutions to the Lyapunov-plus-positive equations:

AP + PAT +∑mi=1 AiPA

Ti +BBT = 0,

ATQ +QAT +∑mi=1 A

Ti QAi + CTC = 0.

(If their solutions exist, they define reachability and observability Gramians of BIBOstable bilinear system.)

Efficient solution methods for Lyapunov-plus-positive equations are derived in[B./Breiten ’13, Shank/Simoncini/Szyld ’16, Kurschner ’17].

Here we aim at determining algebraic Gramians for QB systems, which

provide bounds for the energy functionals of QB systems,generalize the Gramians of linear and bilinear systems, andallow us to find the states that are hard to control as well as hard toobserve in an efficient and reliable way.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 19/37

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New ”Gramians”

A possible solution is to obtain bounds for the energy functionals, instead ofcomputing them exactly.

For example, (locally) Lc(x0) ≥1

2xT

0 P−1x0, where P = PT > 0 [Gray/Mesko ’96].

For bilinear systems, such local bounds were derived in [B./Damm ’11] using thesolutions to the Lyapunov-plus-positive equations:

AP + PAT +∑mi=1 AiPA

Ti +BBT = 0,

ATQ +QAT +∑mi=1 A

Ti QAi + CTC = 0.

(If their solutions exist, they define reachability and observability Gramians of BIBOstable bilinear system.)

Efficient solution methods for Lyapunov-plus-positive equations are derived in[B./Breiten ’13, Shank/Simoncini/Szyld ’16, Kurschner ’17].

Here we aim at determining algebraic Gramians for QB systems, which

provide bounds for the energy functionals of QB systems,generalize the Gramians of linear and bilinear systems, andallow us to find the states that are hard to control as well as hard toobserve in an efficient and reliable way.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 19/37

Page 64: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

New ”Gramians”

A possible solution is to obtain bounds for the energy functionals, instead ofcomputing them exactly.

For example, (locally) Lc(x0) ≥1

2xT

0 P−1x0, where P = PT > 0 [Gray/Mesko ’96].

For bilinear systems, such local bounds were derived in [B./Damm ’11] using thesolutions to the Lyapunov-plus-positive equations:

AP + PAT +∑mi=1 AiPA

Ti +BBT = 0,

ATQ +QAT +∑mi=1 A

Ti QAi + CTC = 0.

(If their solutions exist, they define reachability and observability Gramians of BIBOstable bilinear system.)

Efficient solution methods for Lyapunov-plus-positive equations are derived in[B./Breiten ’13, Shank/Simoncini/Szyld ’16, Kurschner ’17].

Here we aim at determining algebraic Gramians for QB systems, which

provide bounds for the energy functionals of QB systems,generalize the Gramians of linear and bilinear systems, andallow us to find the states that are hard to control as well as hard toobserve in an efficient and reliable way.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 19/37

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Gramians for QB Systems

Controllability Gramians. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Consider input → state map of QB system (m = 1, N ≡ A1):

x(t) = Ax(t) +Hx(t)⊗ x(t) +Nx(t)u(t) +Bu(t), x(0) = 0.

Integration yields

x(t) =

t

0

eAσ1Bu(t − σ1)dσ1 +

t

0

eAσ1Nx(t − σ1)u(t − σ1)dσ1

+

t

0

eAσ1Hx(t − σ1)⊗ x(t − σ1)dσ1

=

t

0

eAσ1Bu(t − σ1)dσ1 +

t

0

t−σ1

0

eAσ1NeAσ2Bu(t − σ1)u(t − σ1 − σ2)dσ1dσ2

+

t

0

t−σ1

0

t−σ1

0

eAσ1H(eAσ2B ⊗ eAσ3B)u(t − σ1 − σ2)u(t − σ1 − σ3)dσ1dσ2dσ3 + . . .

By iteratively inserting expressions for x(t − ●), we obtain the Volterra seriesexpansion for the QB system.

[Rugh ’81]

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Gramians for QB Systems

Controllability Gramians. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Consider input → state map of QB system (m = 1, N ≡ A1):

x(t) = Ax(t) +Hx(t)⊗ x(t) +Nx(t)u(t) +Bu(t), x(0) = 0.

Integration yields

x(t) =

t

0

eAσ1Bu(t − σ1)dσ1 +

t

0

eAσ1Nx(t − σ1)u(t − σ1)dσ1

+

t

0

eAσ1Hx(t − σ1)⊗ x(t − σ1)dσ1

=

t

0

eAσ1Bu(t − σ1)dσ1 +

t

0

t−σ1

0

eAσ1NeAσ2Bu(t − σ1)u(t − σ1 − σ2)dσ1dσ2

+

t

0

t−σ1

0

t−σ1

0

eAσ1H(eAσ2B ⊗ eAσ3B)u(t − σ1 − σ2)u(t − σ1 − σ3)dσ1dσ2dσ3 + . . .

By iteratively inserting expressions for x(t − ●), we obtain the Volterra seriesexpansion for the QB system.

[Rugh ’81]

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Gramians for QB Systems

Controllability Gramians. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Consider input → state map of QB system (m = 1, N ≡ A1):

x(t) = Ax(t) +Hx(t)⊗ x(t) +Nx(t)u(t) +Bu(t), x(0) = 0.

Integration yields

x(t) =

t

0

eAσ1Bu(t − σ1)dσ1 +

t

0

eAσ1Nx(t − σ1)u(t − σ1)dσ1

+

t

0

eAσ1Hx(t − σ1)⊗ x(t − σ1)dσ1

=

t

0

eAσ1Bu(t − σ1)dσ1 +

t

0

t−σ1

0

eAσ1NeAσ2Bu(t − σ1)u(t − σ1 − σ2)dσ1dσ2

+

t

0

t−σ1

0

t−σ1

0

eAσ1H(eAσ2B ⊗ eAσ3B)u(t − σ1 − σ2)u(t − σ1 − σ3)dσ1dσ2dσ3 + . . .

By iteratively inserting expressions for x(t − ●), we obtain the Volterra seriesexpansion for the QB system. [Rugh ’81]

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Gramians for QB Systems

Controllability Gramians. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Using the Volterra kernels, we can define the controllability mappings

Π1(t1) ∶= eAt1B, Π2(t1, t2) ∶= eAt1NΠ1(t2),Π3(t1, t2, t3) ∶= eAt1[H(Π1(t2)⊗Π1(t3)),NΠ2(t1, t2)], . . .

and a candidate for a new Gramian:

P ∶=∞∑k=1

Pk , where Pk = ∫∞

0⋯∫

0Πk(t1, . . . , tk)Πk(t1, . . . , tk)T dt1 . . .dtk .

Theorem [B./Goyal ’16]

If it exists, the new controllability Gramian P for QB (MIMO) systems with stable Asolves the quadratic Lyapunov equation

AP + PAT +m

∑k=1

AkPATk +H(P ⊗ P)HT +BBT = 0.

Note: H = 0 ; ”bilinear reachability Gramian”; if additionally, all Ak = 0 ; linear one.

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Gramians for QB Systems

Controllability Gramians. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Using the Volterra kernels, we can define the controllability mappings

Π1(t1) ∶= eAt1B, Π2(t1, t2) ∶= eAt1NΠ1(t2),Π3(t1, t2, t3) ∶= eAt1[H(Π1(t2)⊗Π1(t3)),NΠ2(t1, t2)], . . .

and a candidate for a new Gramian:

P ∶=∞∑k=1

Pk , where Pk = ∫∞

0⋯∫

0Πk(t1, . . . , tk)Πk(t1, . . . , tk)T dt1 . . .dtk .

Theorem [B./Goyal ’16]

If it exists, the new controllability Gramian P for QB (MIMO) systems with stable Asolves the quadratic Lyapunov equation

AP + PAT +m

∑k=1

AkPATk +H(P ⊗ P)HT +BBT = 0.

Note: H = 0 ; ”bilinear reachability Gramian”; if additionally, all Ak = 0 ; linear one.

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Gramians for QB Systems

Dual systems and observability Gramians [Fujimoto et al. ’02]. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Controllability energy functional (Gramian) of the dual system ⇔observability energy functional (Gramian) of the original system.

Employ close relation between port-Hamiltonian systems and dual systems ofnonlinear systems.

Allows to define dual systems for QB systems:

x(t) = Ax(t) +Hx(t)⊗ x(t) +∑m

k=1Akx(t)u(t) +Bu(t), x(0) = 0,

xd(t) = −AT xd(t) −H(2)x(t)⊗ xd(t) −∑m

k=1AT

k xd(t)u(t) − CTud(t), xd(∞) = 0,

yd(t) = BT xd(t),

where H(2) is the mode-2 matricization of the QB Hessian.

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Gramians for QB Systems

Dual systems and observability Gramians [Fujimoto et al. ’02]. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Controllability energy functional (Gramian) of the dual system ⇔observability energy functional (Gramian) of the original system.

Employ close relation between port-Hamiltonian systems and dual systems ofnonlinear systems.

Allows to define dual systems for QB systems:

x(t) = Ax(t) +Hx(t)⊗ x(t) +∑m

k=1Akx(t)u(t) +Bu(t), x(0) = 0,

xd(t) = −AT xd(t) −H(2)x(t)⊗ xd(t) −∑m

k=1AT

k xd(t)u(t) − CTud(t), xd(∞) = 0,

yd(t) = BT xd(t),

where H(2) is the mode-2 matricization of the QB Hessian.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 22/37

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Gramians for QB Systems

Dual systems and observability Gramians [Fujimoto et al. ’02]. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Controllability energy functional (Gramian) of the dual system ⇔observability energy functional (Gramian) of the original system.

Employ close relation between port-Hamiltonian systems and dual systems ofnonlinear systems.

Allows to define dual systems for QB systems:

x(t) = Ax(t) +Hx(t)⊗ x(t) +∑m

k=1Akx(t)u(t) +Bu(t), x(0) = 0,

xd(t) = −AT xd(t) −H(2)x(t)⊗ xd(t) −∑m

k=1AT

k xd(t)u(t) − CTud(t), xd(∞) = 0,

yd(t) = BT xd(t),

where H(2) is the mode-2 matricization of the QB Hessian.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 22/37

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Gramians for QB Systems

Dual systems and observability Gramians for QB systems [B./Goyal ’16]. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Writing down the Volterra series for the dual system ; observabilitymapping.

This provides the observability Gramian Q for the QB system. It solves

ATQ +QA +m

∑k=1

ATk QAk +H(2)(P ⊗Q) (H(2))

T+ CTC = 0.

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Gramians for QB Systems

Dual systems and observability Gramians for QB systems [B./Goyal ’16]. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Writing down the Volterra series for the dual system ; observabilitymapping.

This provides the observability Gramian Q for the QB system. It solves

ATQ +QA +m

∑k=1

ATk QAk +H(2)(P ⊗Q) (H(2))

T+ CTC = 0.

Remarks:

– Observability Gramian depends on controllability Gramian!– For H = 0, obtain ”bilinear observability Gramian”, and if also all Ak = 0, the

linear one.

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Gramians and Energy Functionals

Bounding the energy functionals:

Lemma [B./Goyal ’16]

In a neighborhood of the stable equilibrium, Bε(0),

Lc(x0) ≥ 12xT0 P−1x0, Lo(x0) ≤ 1

2xT0 Qx0, x0 ∈ Bε(0),

for ”small signals” and x0 pointing in unit directions.

Another interpretation of Gramians in terms of energy functionals

1. If the system is to be steered from 0 to x0, where x0 /∈ range (P), thenLc(x0) =∞ for all input functions u.

2. If the system is (locally) controllable and x0 ∈ ker (Q), then Lo(x0) = 0.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 24/37

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Gramians and Energy Functionals

Bounding the energy functionals:

Lemma [B./Goyal ’16]

In a neighborhood of the stable equilibrium, Bε(0),

Lc(x0) ≥ 12xT0 P−1x0, Lo(x0) ≤ 1

2xT0 Qx0, x0 ∈ Bε(0),

for ”small signals” and x0 pointing in unit directions.

Another interpretation of Gramians in terms of energy functionals

1. If the system is to be steered from 0 to x0, where x0 /∈ range (P), thenLc(x0) =∞ for all input functions u.

2. If the system is (locally) controllable and x0 ∈ ker (Q), then Lo(x0) = 0.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 24/37

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Gramians and Energy Functionals

Illustration using a scalar system

x(t) = ax(t) + hx2(t) + nx(t)u(t) + bu(t), y(t) = cx(t).

−0.2 0 0.20

1

2

3

⋅10−2

x

Actual energyVia Gramians

(a) Input energy lower bound.

−0.2 0 0.20

2

4

6

⋅10−2

x

Actual energy

Via Gramians

(b) Output energy upper bound.

Figure: Comparison of energy functionals for −a = b = c = 2,h = 1,n = 0.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 25/37

Page 78: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Gramians and Energy Functionals

Illustration using a scalar system

x(t) = ax(t) + hx2(t) + nx(t)u(t) + bu(t), y(t) = cx(t).

−0.2 0 0.20

1

2

3

⋅10−2

x

Actual energyVia Gramians

(a) Input energy lower bound.

−0.2 0 0.20

2

4

6

⋅10−2

x

Actual energy

Via Gramians

(b) Output energy upper bound.

Figure: Comparison of energy functionals for −a = b = c = 2,h = 1,n = 0.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 25/37

Page 79: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Truncated Gramians

Now, the main obstacle for using the new Gramians is the solution of the(quadratic) Lyapunov-type equations.

Fix point iteration scheme can be employed but it still very expensive.[Damm ’08]

To overcome this issue, we propose truncated Gramians for QB systems.

Definition (Truncated Gramians) [B./Goyal ’16]

The truncated Gramians PT and QT for QB systems satisfy

APT + PT AT = −BBT −∑m

k=1NkPlN

Tk −H(Pl ⊗ Pl)HT ,

ATQT +QT A = −CTC −∑m

k=1NT

k QlNk −H(2)(Pl ⊗Ql)(H(2))T ,

whereAPl + PlA

T = −BBT and ATQl +QlA = −CTC .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 26/37

Page 80: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Truncated Gramians

Now, the main obstacle for using the new Gramians is the solution of the(quadratic) Lyapunov-type equations.

Fix point iteration scheme can be employed but it still very expensive.[Damm ’08]

To overcome this issue, we propose truncated Gramians for QB systems.

Definition (Truncated Gramians) [B./Goyal ’16]

The truncated Gramians PT and QT for QB systems satisfy

APT + PT AT = −BBT −∑m

k=1NkPlN

Tk −H(Pl ⊗ Pl)HT ,

ATQT +QT A = −CTC −∑m

k=1NT

k QlNk −H(2)(Pl ⊗Ql)(H(2))T ,

whereAPl + PlA

T = −BBT and ATQl +QlA = −CTC .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 26/37

Page 81: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Truncated Gramians

Now, the main obstacle for using the new Gramians is the solution of the(quadratic) Lyapunov-type equations.

Fix point iteration scheme can be employed but it still very expensive.[Damm ’08]

To overcome this issue, we propose truncated Gramians for QB systems.

Definition (Truncated Gramians) [B./Goyal ’16]

The truncated Gramians PT and QT for QB systems satisfy

APT + PT AT = −BBT −∑m

k=1NkPlN

Tk −H(Pl ⊗ Pl)HT ,

ATQT +QT A = −CTC −∑m

k=1NT

k QlNk −H(2)(Pl ⊗Ql)(H(2))T ,

whereAPl + PlA

T = −BBT and ATQl +QlA = −CTC .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 26/37

Page 82: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Truncated Gramians

Now, the main obstacle for using the new Gramians is the solution of the(quadratic) Lyapunov-type equations.

Fix point iteration scheme can be employed but it still very expensive.[Damm ’08]

To overcome this issue, we propose truncated Gramians for QB systems.

Definition (Truncated Gramians) [B./Goyal ’16]

The truncated Gramians PT and QT for QB systems satisfy

APT + PT AT = −BBT −∑m

k=1NkPlN

Tk −H(Pl ⊗ Pl)HT ,

ATQT +QT A = −CTC −∑m

k=1NT

k QlNk −H(2)(Pl ⊗Ql)(H(2))T ,

whereAPl + PlA

T = −BBT and ATQl +QlA = −CTC .

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 26/37

Page 83: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Truncated Gramians

Advantages of truncated Gramians (T-Gramians). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

T-Gramians approximate energy functionals better than the actual Gramians.

σi(P ⋅Q) > σi(PT ⋅QT ) ⇒ obtain smaller order of reduced system iftruncation is done at the same cutoff threshold.Most importantly, we need solutions of only four standard Lyapunovequations.Interpretation of controllability/observability of the system via T-Gramians

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 27/37

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Truncated Gramians

Advantages of truncated Gramians (T-Gramians). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

T-Gramians approximate energy functionals better than the actual Gramians.

−0.2 0 0.20

1

2

3

⋅10−2

x

Actual energy

Via Gramians

Via T-Gramians

(a) Input energy lower bounds.

−0.2 0 0.20

2

4

6

⋅10−2

x

Actual energyVia Gramians

Via T-Gramians

(b) Output energy upper bounds.

Figure: Comparison of energy functionals for −a = b = c = 2,h = 1,n = 0.

σi(P ⋅Q) > σi(PT ⋅QT ) ⇒ obtain smaller order of reduced system iftruncation is done at the same cutoff threshold.Most importantly, we need solutions of only four standard Lyapunovequations.Interpretation of controllability/observability of the system via T-Gramians

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 27/37

Page 85: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Truncated Gramians

Advantages of truncated Gramians (T-Gramians). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

T-Gramians approximate energy functionals better than the actual Gramians.

σi(P ⋅Q) > σi(PT ⋅QT ) ⇒ obtain smaller order of reduced system iftruncation is done at the same cutoff threshold.

Most importantly, we need solutions of only four standard Lyapunovequations.

Interpretation of controllability/observability of the system via T-Gramians

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 27/37

Page 86: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Truncated Gramians

Advantages of truncated Gramians (T-Gramians). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

T-Gramians approximate energy functionals better than the actual Gramians.

σi(P ⋅Q) > σi(PT ⋅QT ) ⇒ obtain smaller order of reduced system iftruncation is done at the same cutoff threshold.

Most importantly, we need solutions of only four standard Lyapunovequations.

Interpretation of controllability/observability of the system via T-Gramians

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 27/37

Page 87: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Truncated Gramians

Advantages of truncated Gramians (T-Gramians). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

T-Gramians approximate energy functionals better than the actual Gramians.

σi(P ⋅Q) > σi(PT ⋅QT ) ⇒ obtain smaller order of reduced system iftruncation is done at the same cutoff threshold.

Most importantly, we need solutions of only four standard Lyapunovequations.

Interpretation of controllability/observability of the system via T-Gramians:

If the system is to be steered from 0 to x0, where x0 /∈ range (PT ), thenLc(x0) =∞.

If the system is controllable and x0 ∈ ker (QT ), then Lo(x0) = 0.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 27/37

Page 88: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation Algorithm

Algorithm 1 Balanced Truncation MOR for QB Systems (Truncated Gramians).

1: Input: A,H,Ak ,B,C .

2: Compute low-rank factors of T-Gramians: PT ≈ SST and QT ≈ RRT .

3: Compute SVD of STR:

STR = UΣV T = [U1 U2]diag(Σ1,Σ2)[V1 V2]T .4: Construct the projection matrices V and W:

V = SU1Σ−1/21 and W = RV1Σ

−1/21 .

5: Output: reduced-order matrices:

A =WTAV, H =WTH(V ⊗ V), Ak =WTAkV,B =WTB, C = CV.

Remark: There are efficient ways to compute H, avoiding the explicit computationof V ⊗ V. [B./Breiten ’15, B./Goyal/Gugercin. ’16]

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 28/37

Page 89: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation Algorithm

Algorithm 1 Balanced Truncation MOR for QB Systems (Truncated Gramians).

1: Input: A,H,Ak ,B,C .

2: Compute low-rank factors of T-Gramians: PT ≈ SST and QT ≈ RRT .

3: Compute SVD of STR:

STR = UΣV T = [U1 U2]diag(Σ1,Σ2)[V1 V2]T .4: Construct the projection matrices V and W:

V = SU1Σ−1/21 and W = RV1Σ

−1/21 .

5: Output: reduced-order matrices:

A =WTAV, H =WTH(V ⊗ V), Ak =WTAkV,B =WTB, C = CV.

Remark: There are efficient ways to compute H, avoiding the explicit computationof V ⊗ V. [B./Breiten ’15, B./Goyal/Gugercin. ’16]

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 28/37

Page 90: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation Algorithm

Algorithm 1 Balanced Truncation MOR for QB Systems (Truncated Gramians).

1: Input: A,H,Ak ,B,C .

2: Compute low-rank factors of T-Gramians: PT ≈ SST and QT ≈ RRT .

3: Compute SVD of STR:

STR = UΣV T = [U1 U2]diag(Σ1,Σ2)[V1 V2]T .

4: Construct the projection matrices V and W:

V = SU1Σ−1/21 and W = RV1Σ

−1/21 .

5: Output: reduced-order matrices:

A =WTAV, H =WTH(V ⊗ V), Ak =WTAkV,B =WTB, C = CV.

Remark: There are efficient ways to compute H, avoiding the explicit computationof V ⊗ V. [B./Breiten ’15, B./Goyal/Gugercin. ’16]

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 28/37

Page 91: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation Algorithm

Algorithm 1 Balanced Truncation MOR for QB Systems (Truncated Gramians).

1: Input: A,H,Ak ,B,C .

2: Compute low-rank factors of T-Gramians: PT ≈ SST and QT ≈ RRT .

3: Compute SVD of STR:

STR = UΣV T = [U1 U2]diag(Σ1,Σ2)[V1 V2]T .4: Construct the projection matrices V and W:

V = SU1Σ−1/21 and W = RV1Σ

−1/21 .

5: Output: reduced-order matrices:

A =WTAV, H =WTH(V ⊗ V), Ak =WTAkV,B =WTB, C = CV.

Remark: There are efficient ways to compute H, avoiding the explicit computationof V ⊗ V. [B./Breiten ’15, B./Goyal/Gugercin. ’16]

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 28/37

Page 92: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Balanced Truncation Algorithm

Algorithm 1 Balanced Truncation MOR for QB Systems (Truncated Gramians).

1: Input: A,H,Ak ,B,C .

2: Compute low-rank factors of T-Gramians: PT ≈ SST and QT ≈ RRT .

3: Compute SVD of STR:

STR = UΣV T = [U1 U2]diag(Σ1,Σ2)[V1 V2]T .4: Construct the projection matrices V and W:

V = SU1Σ−1/21 and W = RV1Σ

−1/21 .

5: Output: reduced-order matrices:

A =WTAV, H =WTH(V ⊗ V), Ak =WTAkV,B =WTB, C = CV.

Remark: There are efficient ways to compute H, avoiding the explicit computationof V ⊗ V. [B./Breiten ’15, B./Goyal/Gugercin. ’16]

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 28/37

Page 93: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Numerical Results

Chafee-Infante equation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

vt + v3 = vxx + v , (0,L) × (0,T ),v(0, .) = u(t), (0,T ),vx(L, .) = 0, (0,T ),v(x ,0) = v0(x), (0,L).

Figure: Chafee-Infante equation.

Cubic nonlinearity that can be rewritten into QB form. [B./Breiten ’15’]

The transformed QB system is of order n = 1,000.

The output of interest is the response at right boundary at x = L.

We determine the reduced-order system of order r = 10.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 29/37

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Numerical Results

Chafee-Infante equation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

vt + v3 = vxx + v , (0,L) × (0,T ),v(0, .) = u(t), (0,T ),vx(L, .) = 0, (0,T ),v(x ,0) = v0(x), (0,L).

Figure: Chafee-Infante equation.

Cubic nonlinearity that can be rewritten into QB form. [B./Breiten ’15’]

The transformed QB system is of order n = 1,000.

The output of interest is the response at right boundary at x = L.

We determine the reduced-order system of order r = 10.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 29/37

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Numerical Results

Chafee-Infante equation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

vt + v3 = vxx + v , (0,L) × (0,T ),v(0, .) = u(t), (0,T ),vx(L, .) = 0, (0,T ),v(x ,0) = v0(x), (0,L).

Figure: Chafee-Infante equation.

Cubic nonlinearity that can be rewritten into QB form. [B./Breiten ’15’]

The transformed QB system is of order n = 1,000.

The output of interest is the response at right boundary at x = L.

We determine the reduced-order system of order r = 10.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 29/37

Page 96: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Numerical Results

Chafee-Infante equation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Original System BT One-sided proj. Two-sided proj.

0 1 2 3 4

0

0.5

1

Time [s]

Transient response

0 1 2 3 410−7

10−3

101

Time [s]

Relative error

Figure: Boundary control for a control input u(t) = 5t exp(−t).

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 30/37

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Numerical Results

Chafee-Infante equation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Original System BT One-sided proj. Two-sided proj.

0 1 2 3 4

0

1

2

3

Time [s]

Transient response

0 1 2 3 410−7

10−3

101

Time [s]

Relative error

Figure: Boundary control for a control input u(t) = 25(1 + sin(2πt))/2.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 30/37

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Numerical Results

FitzHugh-Nagumo (F-N) model. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

εvt(x , t) = ε2vxx(x , t) + f (v(x , t)) −w(x , t) + q,

wt(x , t) = hv(x , t) − γw(x , t) + q,

with a nonlinear function

f (v(x , t)) = v(v − 0.1)(1 − v).

The boundary conditions are as follows:

vx(0, t) = i0(t), vx(L, t) = 0, t ≥ 0,

where ε = 0.015, h = 0.5, γ = 2, q = 0.05,L = 0.2.

Input i0(t) = 5 ⋅ 104t3 exp(−15t) serves as actuator.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 31/37

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Numerical Results

FitzHugh-Nagumo (F-N) model. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Original system (n = 1500) Reduced system (BT) (r = 20)

00.1

0.200.5

11.50

0.1

0.2

xv

w

(a) Limit-cycles at various x .

−0.4 0 0.4 0.8 1.20

0.1

0.2

vw

(b) Projection onto the v−w plane.

Figure: Comparison of the limit-cycles obtained via the original and reduced-order (BT)systems. The reduced-order systems constructed by moment-matching methods wereunstable.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 32/37

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Conclusions — Balanced Truncation

BT extended to bilinear and QB systems.

Local Lyapunov stability is preserved.

As of yet, only weak motivation by bounding energy functionals.

No error bounds in terms of ”Hankel” singular values.

Computationally efficient (as compared to nonlinear balancing), and inputindependent.

To do:

error bound,conditions for existence of new QB Gramians,extension to descriptor systems,time-limited versions.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 33/37

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Outline

1. Introduction

2. Model Reduction for Linear Systems

3. Balanced Truncation for Nonlinear Systems

4. Rational Interpolation for Nonlinear Systems

5. References

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 34/37

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Rational Interpolation for Nonlinear Systems

Applying multivariate Laplace transform to Volterra kernels yields generalizedtransfer functions.

Rational interpolation of transfer functions using (rational) Krylov subspaces yieldsmoment-matching for bilinear systems:

2005–10: [Condon/Ivanov, Phillips, Bai/Skoogh, B./Feng, Breiten/Damm],H2-optimal model reduction via bilinear IRKA [B./Breiten ’12],extension to bilinear descriptor systems [B./Goyal ’16, Ahmad/B./Goyal ’17].

Analogously, for QB systems,

moment-matching via one-sided [Phillips ’03, Feng et al ’05, Gu ’11] andtwo-sided (SISO case) [B./Breiten ’12,’15] projection→ extension to MIMO systems: talk by M. Cruz Varona, today, 16h,extension to special descriptor systems (”Stokes-type”)[Ahmad/B./Goyal/Heiland ’15],using Volterra series interpolation instead of transfer function interpolation

[Ahmad/B./Jaimoukha ’16, Ahmad/Baur/B. ’17],H2-quasi-optimal model reduction via TQB-IRKA [B./Goyal/Gugercin ’16]→ talk by P. Goyal, today, 16:30h,

Rational interpolation of bilinear and QB systems using Loewner pencil framework[Antoulas/Gosea/Ionita ’16, Gosea ’17].

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 35/37

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Rational Interpolation for Nonlinear Systems

Applying multivariate Laplace transform to Volterra kernels yields generalizedtransfer functions.

Rational interpolation of transfer functions using (rational) Krylov subspaces yieldsmoment-matching for bilinear systems:

2005–10: [Condon/Ivanov, Phillips, Bai/Skoogh, B./Feng, Breiten/Damm],H2-optimal model reduction via bilinear IRKA [B./Breiten ’12],extension to bilinear descriptor systems [B./Goyal ’16, Ahmad/B./Goyal ’17].

Analogously, for QB systems,

moment-matching via one-sided [Phillips ’03, Feng et al ’05, Gu ’11] andtwo-sided (SISO case) [B./Breiten ’12,’15] projection→ extension to MIMO systems: talk by M. Cruz Varona, today, 16h,extension to special descriptor systems (”Stokes-type”)[Ahmad/B./Goyal/Heiland ’15],using Volterra series interpolation instead of transfer function interpolation

[Ahmad/B./Jaimoukha ’16, Ahmad/Baur/B. ’17],H2-quasi-optimal model reduction via TQB-IRKA [B./Goyal/Gugercin ’16]→ talk by P. Goyal, today, 16:30h,

Rational interpolation of bilinear and QB systems using Loewner pencil framework[Antoulas/Gosea/Ionita ’16, Gosea ’17].

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 35/37

Page 104: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Rational Interpolation for Nonlinear Systems

Applying multivariate Laplace transform to Volterra kernels yields generalizedtransfer functions.

Rational interpolation of transfer functions using (rational) Krylov subspaces yieldsmoment-matching for bilinear systems:

2005–10: [Condon/Ivanov, Phillips, Bai/Skoogh, B./Feng, Breiten/Damm],H2-optimal model reduction via bilinear IRKA [B./Breiten ’12],extension to bilinear descriptor systems [B./Goyal ’16, Ahmad/B./Goyal ’17].

Analogously, for QB systems,

moment-matching via one-sided [Phillips ’03, Feng et al ’05, Gu ’11] andtwo-sided (SISO case) [B./Breiten ’12,’15] projection→ extension to MIMO systems: talk by M. Cruz Varona, today, 16h,extension to special descriptor systems (”Stokes-type”)[Ahmad/B./Goyal/Heiland ’15],using Volterra series interpolation instead of transfer function interpolation

[Ahmad/B./Jaimoukha ’16, Ahmad/Baur/B. ’17],H2-quasi-optimal model reduction via TQB-IRKA [B./Goyal/Gugercin ’16]→ talk by P. Goyal, today, 16:30h,

Rational interpolation of bilinear and QB systems using Loewner pencil framework[Antoulas/Gosea/Ionita ’16, Gosea ’17].

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 35/37

Page 105: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Rational Interpolation for Nonlinear Systems

Applying multivariate Laplace transform to Volterra kernels yields generalizedtransfer functions.

Rational interpolation of transfer functions using (rational) Krylov subspaces yieldsmoment-matching for bilinear systems:

2005–10: [Condon/Ivanov, Phillips, Bai/Skoogh, B./Feng, Breiten/Damm],H2-optimal model reduction via bilinear IRKA [B./Breiten ’12],extension to bilinear descriptor systems [B./Goyal ’16, Ahmad/B./Goyal ’17].

Analogously, for QB systems,

moment-matching via one-sided [Phillips ’03, Feng et al ’05, Gu ’11] andtwo-sided (SISO case) [B./Breiten ’12,’15] projection→ extension to MIMO systems: talk by M. Cruz Varona, today, 16h,extension to special descriptor systems (”Stokes-type”)[Ahmad/B./Goyal/Heiland ’15],using Volterra series interpolation instead of transfer function interpolation

[Ahmad/B./Jaimoukha ’16, Ahmad/Baur/B. ’17],H2-quasi-optimal model reduction via TQB-IRKA [B./Goyal/Gugercin ’16]→ talk by P. Goyal, today, 16:30h,

Rational interpolation of bilinear and QB systems using Loewner pencil framework[Antoulas/Gosea/Ionita ’16, Gosea ’17].

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 35/37

Page 106: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Own References — Balanced Truncation

P. Benner and T. Damm.Lyapunov Equations, Energy Functionals, and Model Order Reduction of Bilinear and Stochastic Systems.SIAM Journal on Control and Optimiztion, 49(2):686–711, 2011.

P. Benner and T. Breiten.Low Rank Methods for a Class of Generalized Lyapunov Equations and Related Issues.Numerische Mathematik, 124(3):441–470, 2013.

P. Benner, P. Goyal, and M. Redmann.Truncated Gramians for Bilinear Systems and their Advantages in Model Order Reduction.In P. Benner, M. Ohlberger, T. Patera, G. Rozza, K. Urban (Eds.), Model Reduction ofParametrized Systems, MS & A — Modeling, Simulation and Applications, Springer InternationalPublishing, Cham, 2017.

P. Benner and P. Goyal.Balanced Truncation Model Order Reduction for Quadratic-Bilinear Control Systems.In preparation.

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Page 107: Model Order Reduction for Nonlinear Systems Using … Order Reduction for Nonlinear Systems Using Transfer Function Concepts Peter Benner 11. Elgersburg Workshop February 19{23, 2017

Own References — Rational Interpolation

P. Benner and T. Breiten.Krylov-Subspace Based Model Reduction of Nonlinear Circuit Models Using Bilinear and Quadratic-Linear Approximations.In M. Gunther, A. Bartel, M. Brunk, S. Schops, M. Striebel (Eds.), Progress in Industrial Mathematics at ECMI 2010, Mathematics in Industry,17:153–159, Springer-Verlag, Berlin, 2012.

P. Benner and T. Breiten.Interpolation-Based H2-Model Reduction of Bilinear Control Systems.SIAM Journal on Matrix Analysis and Applications, 33(3):859–885, 2012.

P. Benner and T. Breiten.Two-Sided Moment Matching Methods for Nonlinear Model Reduction.SIAM Journal on Scientific Computing, 37(2):B239-B260, 2015.

M. I. Ahmad, P. Benner, P. Goyal, and J. Heiland.Moment-Matching Based Model Reduction for Stokes-Type Quadratic-Bilinear Descriptor Systems.MPI Magdeburg Preprint MPIMD/15-18, October 2015.

P. Benner and P. Goyal.Multipoint Interpolation of Volterra Series and H2-Model Reduction for a Family of Bilinear Descriptor Systems.Systems & Control Letters, 97:1–11, 2016.

M. I. Ahmad, P. Benner, and I. M. Jaimoukha.Krylov Subspace Projection Methods for Model Reduction of Quadratic-Bilinear Systems.IET Control Theory & Applications, 10(16);2010-2018, 2016.

P. Goyal, M. I. Ahmad, and P. Benner.Krylov Subspace-based Model Reduction for a Class of Bilinear Descriptor Systems.Journal of Computational and Applied Mathematics, 315:303-318, 2017.

M. I. Ahmad, P. Benner, and U. Baur.Implicit Volterra Series Interpolation for Model Reduction of Bilinear Systems.Journal of Computational and Applied Mathematics, 316:15–28, 2017.

P. Benner, P. Goyal, and S. Gugercin.H2-Quasi-Optimal Model Order Reduction for Quadratic-Bilinear Control Systems.arXiv:1610.03279v1, October 2016.

© Peter Benner MOR for Nonlinear Systems Using Transfer Functions 37/37