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Source author record

Serkan Gugercin

Serkan Gugercin appears in the imported research catalog. Authorship, coauthor and topic links are available while profile ownership is still unclaimed.

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math.NASystems and Controlmath.DSNumerical Analysiseess.SYComputational Engineering, Finance, and ScienceArtificial Intelligenceeess.SPmath.CVmath.FAmath.OC

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Published work

31 published item(s)

preprint2026arXiv

A parametric Keldysh decomposition

Contour integral algorithms seek to compute a small number of eigenvalues located within a bounded region of the complex plane. These methods can be applied to both linear and nonlinear matrix eigenvalue problems. In the latter case, the foundation of these methods comes from the Keldysh decomposition, which breaks the nonlinear matrix-valued function into two parts: a rational function whose poles match the desired eigenvalues, and a remainder term that is analytic within the target region. Under contour integration this analytic part vanishes (via Cauchy's theorem), leaving only the component containing the desired eigenvalues. We propose an extension of the Keldysh decomposition for matrix-valued functions that depend analytically on an additional parameter. We establish key properties of this parametric Keldysh decomposition, and introduce an algorithm for solving parametric nonlinear eigenvalue problems that is based upon it.

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preprint2026arXiv

Wavelet-Based Observables for Koopman Analysis: An Extended Dynamic Mode Decomposition Framework

We present an in-depth analysis of the Koopman semigroup via wavelet transform. Towards this goal, we start by introducing the wavelet-based observables and show that they are eigenfunctions of the Koopman semigroup when this semigroup is considered over the Banach space of continuous functions on a compact forward-invariant set endowed with the supremum norm. We then construct closed-form expressions of the action of the Koopman semigroup and its resolvent in terms of these observables. To approximate the action of Koopman semigroup numerically, we combine Extended Dynamic Mode Decomposition (EDMD) with the proposed wavelet-based observables leading to the Wavelet Dynamic Mode Decomposition via Continuous Wavelet Transform (cWDMD) algorithm. We validate our theoretical results on two numerical examples.

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preprint2024arXiv

Frequency-Based Reduced Models from Purely Time-Domain Data via Data Informativity

Frequency-based methods have been successfully employed in creating high fidelity data-driven reduced order models (DDROMs) for linear dynamical systems. These methods require access to values (and sometimes derivatives) of the frequency-response function (transfer function) in the complex plane. These frequency domain values can at times be costly or difficult to obtain (especially if the method of choice requires resampling); instead one may have access to only time-domain input-output data. The data informativity approach to moment matching provides a powerful new framework for recovering the required frequency data from a single time-domain trajectory. In this work, we analyze and extend upon this framework, resulting in vastly improved conditioning of the associated linear systems, an error indicator, and removal of an assumption that the system order is known. This analysis leads to a robust algorithm for recovering frequency information from time-domain data, suitable for large scale systems. We demonstrate the effectiveness of our algorithm by forming frequency based DDROMs from time-domain data of several dynamical systems.

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preprint2022arXiv

Structure-Preserving Model Reduction for Nonlinear Power Grid Network

We develop a structure-preserving system-theoretic model reduction framework for nonlinear power grid networks. First, via a lifting transformation, we convert the original nonlinear system with trigonometric nonlinearities to an equivalent quadratic nonlinear model. This equivalent representation allows us to employ the $\mathcal{H}_2$-based model reduction approach, Quadratic Iterative Rational Krylov Algorithm (Q-IRKA), as an intermediate model reduction step. Exploiting the structure of the underlying power network model, we show that the model reduction bases resulting from Q-IRKA have a special subspace structure, which allows us to effectively construct the final model reduction basis. This final basis is applied on the original nonlinear structure to yield a reduced model that preserves the physically meaningful (second-order) structure of the original model. The effectiveness of our proposed framework is illustrated via two numerical examples.

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preprint2022arXiv

The p-AAA algorithm for data driven modeling of parametric dynamical systems

The AAA algorithm has become a popular tool for data-driven rational approximation of single variable functions, such as transfer functions of a linear dynamical system. In the setting of parametric dynamical systems appearing in many prominent applications, the underlying (transfer) function to be modeled is a multivariate function. With this in mind, we develop the AAA framework for approximating multivariate functions where the approximant is constructed in the multivariate barycentric form. The method is data-driven, in the sense that it does not require access to full state-space model and requires only function evaluations. We discuss an extension to the case of matrix-valued functions, i.e., multi-input/multi-output dynamical systems, and provide a connection to the tangential interpolation theory. Several numerical examples illustrate the effectiveness of the proposed approach.

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preprint2021arXiv

Data-driven modeling of linear dynamical systems with quadratic output in the AAA framework

We extend the AAA (Adaptive-Antoulas-Anderson) algorithm to develop a data-driven modeling framework for linear systems with quadratic output (LQO). Such systems are characterized by two transfer functions: one corresponding to the linear part of the output and another one to the quadratic part. We first establish the joint barycentric representations and the interpolation theory for the two transfer functions of LQO systems. This analysis leads to the proposed AAA-LQO algorithm. We show that by interpolating the transfer function values on a subset of samples together with imposing a least-squares minimization on the rest, we construct reliable data-driven LQO models. Two numerical test cases illustrate the efficiency of the proposed method.

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preprint2021arXiv

Structure-preserving Model Reduction of Parametric Power Networks

We develop a structure-preserving parametric model reduction approach for linearized swing equations where parametrization corresponds to variations in operating conditions. We employ a global basis approach to develop the parametric reduced model in which we concatenate the local bases obtained via $\mathcal{H}_2$-based interpolatory model reduction. The residue of the underlying dynamics corresponding to the simple pole at zero varies with the parameters. Therefore, to have bounded $\mathcal{H}_2$ and $\mathcal{H}_\infty$ errors, the reduced model residue for the pole at zero should match the original one over the entire parameter domain. Our framework achieves this goal by enriching the global basis based on a residue analysis. The effectiveness of the proposed method is illustrated through two numerical examples.

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preprint2020arXiv

Contour Integral Methods for Nonlinear Eigenvalue Problems: A Systems Theoretic Approach

Contour integral methods for nonlinear eigenvalue problems seek to compute a subset of the spectrum in a bounded region of the complex plane. We briefly survey this class of algorithms, establishing a relationship to system realization techniques in control theory. This connection motivates a new general framework for contour integral methods (for linear and nonlinear eigenvalue problems), building on recent developments in multi-point rational interpolation of dynamical systems. These new techniques, which replace the usual Hankel matrices with Loewner matrix pencils, incorporate general interpolation schemes and permit ready recovery of eigenvectors. Because the main computations (the solution of linear systems associated with contour integration) are identical for these Loewner methods and the traditional Hankel approach, a variety of new eigenvalue approximations can be explored with modest additional work. Numerical examples illustrate the potential of this approach. We also discuss how the concept of filter functions can be employed in this new framework, and show how contour methods enable a data-driven modal truncation method for model reduction.

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preprint2020arXiv

Randomization for the Efficient Computation of Parametric Reduced Order Models for Inversion

Nonlinear parametric inverse problems appear in many applications. Here, we focus on diffuse optical tomography (DOT) in medical imaging to recover unknown images of interest, such as cancerous tissue in a given medium, using a mathematical (forward) model. The forward model in DOT is a diffusion-absorption model for the photon flux. The main bottleneck in these problems is the repeated evaluation of the large-scale forward model. For DOT, this corresponds to solving large linear systems for each source and frequency at each optimization step. Moreover, Newton-type methods, often the method of choice, require additional linear solves with the adjoint to compute derivative information. Emerging technology allows for large numbers of sources and detectors, making these problems prohibitively expensive. Reduced order models (ROM) have been used to drastically reduce the system size in each optimization step, while solving the inverse problem accurately. However, for large numbers of sources and detectors, just the construction of the candidate basis for the ROM projection space incurs a substantial cost, as matching the full parameter gradient matrix in interpolatory model reduction requires large linear solves for all sources and frequencies and all detectors and frequencies for each parameter interpolation point. As this candidate basis numerically has low rank, this construction is followed by a rank-revealing factorization that typically reduces the number of vectors in the candidate basis substantially. We propose to use randomization to approximate this basis with a drastically reduced number of large linear solves. We also provide a detailed analysis for the low-rank structure of the candidate basis for our problem of interest. Even though we focus on the DOT problem, the ideas presented are relevant to many other large scale inverse problems and optimization problems.

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preprint2020arXiv

Stability of discrete empirical interpolation and gappy proper orthogonal decomposition with randomized and deterministic sampling points

This work investigates the stability of (discrete) empirical interpolation for nonlinear model reduction and state field approximation from measurements. Empirical interpolation derives approximations from a few samples (measurements) via interpolation in low-dimensional spaces. It has been observed that empirical interpolation can become unstable if the samples are perturbed due to, e.g., noise, turbulence, and numerical inaccuracies. The main contribution of this work is a probabilistic analysis that shows that stable approximations are obtained if samples are randomized and if more samples than dimensions of the low-dimensional spaces are used. Oversampling, i.e., taking more sampling points than dimensions of the low-dimensional spaces, leads to approximations via regression and is known under the name of gappy proper orthogonal decomposition. Building on the insights of the probabilistic analysis, a deterministic sampling strategy is presented that aims to achieve lower approximation errors with fewer points than randomized sampling by taking information about the low-dimensional spaces into account. Numerical results of reconstructing velocity fields from noisy measurements of combustion processes and model reduction in the presence of noise demonstrate the instability of empirical interpolation and the stability of gappy proper orthogonal decomposition with oversampling.

0 citations0 reviewsNo code linkedOpen access
preprint2019arXiv

Estimating Dispersion Curves from Frequency Response Functions via Vector-Fitting

Driven by the need for describing and understanding wave propagation in structural materials and components, several analytical, numerical, and experimental techniques have been developed to obtain dispersion curves. Accurate characterization of the structure (waveguide) under test is needed for analytical and numerical approaches. Experimental approaches, on the other hand, rely on analyzing waveforms as they propagate along the structure. Material inhomogeneity, reflections from boundaries, and the physical dimensions of the structure under test limit the frequency range over which dispersion curves can be measured. In this work, a new data-driven modeling approach for estimating dispersion curves is developed. This approach utilizes the relatively easy-to-measure, steady-state Frequency Response Functions (FRFs) to develop a state-space dynamical model of the structure under test. The developed model is then used to study the transient response of the structure and estimate its dispersion curves. This paper lays down the foundation of this approach and demonstrates its capabilities on a one-dimensional homogeneous beam using numerically calculated FRFs. Both in-plane and out-of-plane FRFs corresponding, respectively, to longitudinal (the first symmetric) and flexural (the first anti-symmetric) wave modes are analyzed. The effects of boundary conditions on the performance of this approach are also addressed.

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preprint2017arXiv

Model Reduction for Systems with Inhomogeneous Initial Conditions

We consider the model reduction problem for linear time-invariant dynamical systems having nonzero (but otherwise indeterminate) initial conditions. Building upon the observation that the full system response is decomposable as a superposition of the response map for an unforced system having nontrivial initial conditions and the response map for a forced system having null initial conditions, we develop a new approach that involves reducing these component responses independently and then combining the reduced responses into an aggregate reduced system response. This approach allows greater flexibility and offers better approximation properties than other comparable methods.

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preprint2016arXiv

Computing Reduced Order Models via Inner-Outer Krylov Recycling in Diffuse Optical Tomography

In nonlinear imaging problems whose forward model is described by a partial differential equation (PDE), the main computational bottleneck in solving the inverse problem is the need to solve many large-scale discretized PDEs at each step of the optimization process. In the context of absorption imaging in diffuse optical tomography, one approach to addressing this bottleneck proposed recently (de Sturler, et al, 2015) reformulates the viewing of the forward problem as a differential algebraic system, and then employs model order reduction (MOR). However, the construction of the reduced model requires the solution of several full order problems (i.e. the full discretized PDE for multiple right-hand sides) to generate a candidate global basis. This step is then followed by a rank-revealing factorization of the matrix containing the candidate basis in order to compress the basis to a size suitable for constructing the reduced transfer function. The present paper addresses the costs associated with the global basis approximation in two ways. First, we use the structure of the matrix to rewrite the full order transfer function, and corresponding derivatives, such that the full order systems to be solved are symmetric (positive definite in the zero frequency case). Then we apply MOR to the new formulation of the problem. Second, we give an approach to computing the global basis approximation dynamically as the full order systems are solved. In this phase, only the incrementally new, relevant information is added to the existing global basis, and redundant information is not computed. This new approach is achieved by an inner-outer Krylov recycling approach which has potential use in other applications as well. We show the value of the new approach to approximate global basis computation on two DOT absorption image reconstruction problems.

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preprint2016arXiv

Structure-preserving Model Reduction for Nonlinear Port-Hamiltonian Systems

This paper presents a structure-preserving model reduction approach applicable to large-scale, nonlinear port-Hamiltonian systems. Structure preservation in the reduction step ensures the retention of port-Hamiltonian structure which, in turn, assures the stability and passivity of the reduced model. Our analysis provides a priori error bounds for both state variables and outputs. Three techniques are considered for constructing bases needed for the reduction: one that utilizes proper orthogonal decompositions; one that utilizes $\mathcal{H}_2/\mathcal{H}_{\infty}$-derived optimized bases; and one that is a mixture of the two. The complexity of evaluating the reduced nonlinear term is managed efficiently using a modification of the discrete empirical interpolation method (DEIM) that also preserves port-Hamiltonian structure. The efficiency and accuracy of this model reduction framework are illustrated with two examples: a nonlinear ladder network and a tethered Toda lattice.

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preprint2015arXiv

A New Selection Operator for the Discrete Empirical Interpolation Method -- improved a priori error bound and extensions

This paper introduces a new framework for constructing the Discrete Empirical Interpolation Method DEIM projection operator. The interpolation node selection procedure is formulated using the QR factorization with column pivoting, and it enjoys a sharper error bound for the DEIM projection error. Furthermore, for a subspace $\mathcal{U}$ given as the range of an orthonormal $U$, the DEIM projection does not change if $U$ is replaced by $U Ω$ with arbitrary unitary matrix $Ω$. In a large-scale setting, the new approach allows modifications that use only randomly sampled rows of $U$, but with the potential of producing good approximations with corresponding probabilistic error bounds. Another salient feature of the new framework is that robust and efficient software implementation is easily developed, based on readily available high performance linear algebra packages.

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preprint2015arXiv

Vector Fitting for Matrix-valued Rational Approximation

Vector Fitting (VF) is a popular method of constructing rational approximants that provides a least squares fit to frequency response measurements. In an earlier work, we provided an analysis of VF for scalar-valued rational functions and established a connection with optimal $H_2$ approximation. We build on this work and extend the previous framework to include the construction of effective rational approximations to matrix-valued functions, a problem which presents significant challenges that do not appear in the scalar case. Transfer functions associated with multi-input/multi-output (MIMO) dynamical systems typify the class of functions that we consider here. Others have also considered extensions of VF to matrix-valued functions and related numerical implementations are readily available. However to our knowledge, a detailed analysis of numerical issues that arise does not yet exist. We offer such an analysis including critical implementation details here. One important issue that arises for VF on matrix-valued functions that has remained largely unaddressed is the control of the McMillan degree of the resulting rational approximant; the McMillan degree can grow very high in the case of large input/output dimensions. We introduce two new mechanisms for controlling the McMillan degree of the final approximant, one based on alternating least-squares minimization and one based on ancillary system-theoretic reduction methods. Motivated in part by our earlier work on the scalar VF problem as well as by recent innovations for computing optimal $H_2$ approximation, we establish a connection with optimal $H_2$ approximation, and are able to improve significantly the fidelity of VF through numerical quadrature, with virtually no increase in cost or complexity. We provide several numerical examples to support the theoretical discussion and proposed algorithms.

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preprint2014arXiv

Model Reduction by Rational Interpolation

The last two decades have seen major developments in interpolatory methods for model reduction of large-scale linear dynamical systems. Advances of note include the ability to produce (locally) optimal reduced models at modest cost; refined methods for deriving interpolatory reduced models directly from input/output measurements; and extensions for the reduction of parametrized systems. This chapter offers a survey of interpolatory model reduction methods starting from basic principles and ranging up through recent developments that include weighted model reduction and structure-preserving methods based on generalized coprime representations. Our discussion is supported by an assortment of numerical examples.

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preprint2014arXiv

Model Reduction for DAEs with an Application to Flow Control

Direct numerical simulation of dynamical systems is of fundamental importance in studying a wide range of complex physical phenomena. However, the ever-increasing need for accuracy leads to extremely large-scale dynamical systems whose simulations impose huge computational demands. Model reduction offers one remedy to this problem by producing simpler reduced models that are both easier to analyze and faster to simulate while accurately replicating the original behavior. Interpolatory model reduction methods have emerged as effective candidates for very large-scale problems due to their ability to produce high-fidelity (optimal in some cases) reduced models for linear and bilinear dynamical systems with modest computational cost. In this paper, we will briefly review the interpolation framework for model reduction and describe a well studied flow control problem that requires model reduction of a large scale system of differential algebraic equations. We show that interpolatory model reduction produces a feedback control strategy that matches the structure of much more expensive control design methodologies.

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preprint2014arXiv

Near-optimal Frequency-weighted Interpolatory Model Reduction

This paper develops an interpolatory framework for weighted-$\mathcal{H}_2$ model reduction of MIMO dynamical systems. A new representation of the weighted-$\mathcal{H}_2$ inner products in MIMO settings is introduced and used to derive associated first-order necessary conditions satisfied by optimal weighted-$\mathcal{H}_2$ reduced-order models. Equivalence of these new interpolatory conditions with earlier Riccati-based conditions given by Halevi is also shown. An examination of realizations for equivalent weighted-$\mathcal{H}_2$ systems leads then to an algorithm that remains tractable for large state-space dimension. Several numerical examples illustrate the effectiveness of this approach and its competitiveness with Frequency Weighted Balanced Truncation and an earlier interpolatory approach, the Weighted Iterative Rational Krylov Algorithm.

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preprint2014arXiv

Quadrature-Based Vector Fitting: Implications For H2 System Approximation

Vector Fitting is a popular method of constructing rational approximants designed to fit given frequency response measurements. The original method, which we refer to as VF, is based on a least-squares fit to the measurements by a rational function, using an iterative reallocation of the poles of the approximant. We show that one can improve the performance of VF significantly, by using a particular choice of frequency sampling points and properly weighting their contribution based on quadrature rules that connect the least squares objective with an H2 error measure. Our modified approach, designated here as QuadVF, helps recover the original transfer function with better global fidelity (as measured with respect to the H2 norm), than the localized least squares approximation implicit in VF. We extend the new framework also to incorporate derivative information, leading to rational approximants that minimize system error with respect to a discrete Sobolev norm. We consider the convergence behavior of both VF and QuadVF as well, and evaluate potential numerical ill-conditioning of the underlying least-squares problems. We investigate briefly VF in the case of noisy measurements and propose a new formulation for the resulting approximation problem. Several numerical examples are provided to support the theoretical discussion.

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preprint2013arXiv

Model Reduction of Descriptor Systems by Interpolatory Projection Methods

In this paper, we investigate interpolatory projection framework for model reduction of descriptor systems. With a simple numerical example, we first illustrate that employing subspace conditions from the standard state space settings to descriptor systems generically leads to unbounded H2 or H-infinity errors due to the mismatch of the polynomial parts of the full and reduced-order transfer functions. We then develop modified interpolatory subspace conditions based on the deflating subspaces that guarantee a bounded error. For the special cases of index-1 and index-2 descriptor systems, we also show how to avoid computing these deflating subspaces explicitly while still enforcing interpolation. The question of how to choose interpolation points optimally naturally arises as in the standard state space setting. We answer this question in the framework of the H2-norm by extending the Iterative Rational Krylov Algorithm (IRKA) to descriptor systems. Several numerical examples are used to illustrate the theoretical discussion.

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preprint2013arXiv

Multipoint Volterra Series Interpolation and H2 Optimal Model Reduction of Bilinear Systems

In this paper, we focus on model reduction of large-scale bilinear systems. The main contributions are threefold. First, we introduce a new framework for interpolatory model reduction of bilinear systems. In contrast to the existing methods where interpolation is forced on some of the leading subsystem transfer functions, the new framework shows how to enforce multipoint interpolation of the underlying Volterra series. Then, we show that the first-order conditions for optimal H2 model reduction of bilinear systems require multivariate Hermite interpolation in terms of the new Volterra series interpolation framework; and thus we extend the interpolation-based first-order necessary conditions for H2 optimality of LTI systems to the bilinear case. Finally, we show that multipoint interpolation on the truncated Volterra series representation of a bilinear system leads to an asymptotically optimal approach to H2 optimal model reduction, leading to an efficient model reduction algorithm. Several numerical examples illustrate the effectiveness of the proposed approach.

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preprint2013arXiv

Nonlinear Parametric Inversion using Interpolatory Model Reduction

Nonlinear parametric inverse problems appear in several prominent applications; one such application is Diffuse Optical Tomography (DOT) in medical image reconstruction. Such inverse problems present huge computational challenges, mostly due to the need for solving a sequence of large-scale discretized, parametrized, partial differential equations (PDEs) in the forward model. In this paper, we show how interpolatory parametric model reduction can significantly reduce the cost of the inversion process in DOT by drastically reducing the computational cost of solving the forward problems. The key observation is that function evaluations for the underlying optimization problem may be viewed as transfer function evaluations along the imaginary axis; a similar observation holds for Jacobian evaluations as well. This motivates the use of system-theoretic model order reduction methods. We discuss the construction and use of interpolatory parametric reduced models as surrogates for the full forward model. Within the DOT setting, these surrogate models can approximate both the cost functional and the associated Jacobian with very little loss of accuracy while significantly reducing the cost of the overall inversion process. Four numerical examples illustrate the efficiency of the proposed approach. Although we focus on DOT in this paper, we believe that our approach is applicable much more generally.

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preprint2012arXiv

Interpolatory H-infinity Model Reduction

We introduce an interpolation framework for H-infinity model reduction founded on ideas originating in optimal-H2 interpolatory model reduction, realization theory, and complex Chebyshev approximation. By employing a Loewner "data-driven" framework within each optimization cycle, large-scale H-infinity norm calculations can be completely avoided. Thus, we are able to formulate a method that remains effective in large-scale settings with the main cost dominated by sparse linear solves. Several numerical examples illustrate that our approach will produce high fidelity reduced models consistently exhibiting better H-infinity performance than those produced by balanced truncation; these models often are as good as (and occasionally better than) those models produced by optimal Hankel norm approximation. In all cases, these reduced models are produced at far lower cost than is possible either with balanced truncation or optimal Hankel norm approximation.

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preprint2012arXiv

Interpolatory Weighted-H2 Model Reduction

This paper introduces an interpolation framework for the weighted-H2 model reduction problem. We obtain a new representation of the weighted-H2 norm of SISO systems that provides new interpolatory first order necessary conditions for an optimal reduced-order model. The H2 norm representation also provides an error expression that motivates a new weighted-H2 model reduction algorithm. Several numerical examples illustrate the effectiveness of the proposed approach.

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preprint2012arXiv

On the ADI method for the Sylvester Equation and the optimal-$\mathcal{H}_2$ points

The ADI iteration is closely related to the rational Krylov projection methods for constructing low rank approximations to the solution of Sylvester equation. In this paper we show that the ADI and rational Krylov approximations are in fact equivalent when a special choice of shifts are employed in both methods. We will call these shifts pseudo H2-optimal shifts. These shifts are also optimal in the sense that for the Lyapunov equation, they yield a residual which is orthogonal to the rational Krylov projection subspace. Via several examples, we show that the pseudo H2-optimal shifts consistently yield nearly optimal low rank approximations to the solutions of the Lyapunov equations.

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preprint2011arXiv

Convergence of the Iterative Rational Krylov Algorithm

The Iterative Rational Krylov Algorithm (IRKA) of [8] is an interpolatory model reduction approach to the optimal $\mathcal{H}_2$ approximation problem. Even though the method has been illustrated to show rapid convergence in various examples, a proof of convergence has not been provided yet. In this note, we show that in the case of state-space symmetric systems, IRKA is a locally convergent fixed point iteration to a local minimum of the underlying $\mathcal{H}_2$ approximation problem.

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preprint2011arXiv

Inexact Solves in Interpolatory Model Reduction

We investigate the use of inexact solves for interpolatory model reduction and consider associated perturbation effects on the underlying model reduction problem. We give bounds on system perturbations induced by inexact solves and relate this to termination criteria for iterative solution methods. We show that when a Petrov-Galerkin framework is employed for the inexact solves, the associated reduced order model is an exact interpolatory model for a nearby full-order system; thus demonstrating backward stability. We also give evidence that for $\h2$-optimal interpolation points, interpolatory model reduction is robust with respect to perturbations due to inexact solves. Finally, we demonstrate the effecitveness of direct use of inexact solves in optimal ${\mathcal H}_2$ approximation. The result is an effective model reduction strategy that is applicable in realistically large-scale settings.

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preprint2011arXiv

Recycling BiCG with an Application to Model Reduction

Science and engineering problems frequently require solving a sequence of dual linear systems. Besides having to store only few Lanczos vectors, using the BiConjugate Gradient method (BiCG) to solve dual linear systems has advantages for specific applications. For example, using BiCG to solve the dual linear systems arising in interpolatory model reduction provides a backward error formulation in the model reduction framework. Using BiCG to evaluate bilinear forms -- for example, in quantum Monte Carlo (QMC) methods for electronic structure calculations -- leads to a quadratic error bound. Since our focus is on sequences of dual linear systems, we introduce recycling BiCG, a BiCG method that recycles two Krylov subspaces from one pair of dual linear systems to the next pair. The derivation of recycling BiCG also builds the foundation for developing recycling variants of other bi-Lanczos based methods, such as CGS, BiCGSTAB, QMR, and TFQMR. We develop an augmented bi-Lanczos algorithm and a modified two-term recurrence to include recycling in the iteration. The recycle spaces are approximate left and right invariant subspaces corresponding to the eigenvalues closest to the origin. These recycle spaces are found by solving a small generalized eigenvalue problem alongside the dual linear systems being solved in the sequence. We test our algorithm in two application areas. First, we solve a discretized partial differential equation (PDE) of convection-diffusion type. Such a problem provides well-known test cases that are easy to test and analyze further. Second, we use recycling BiCG in the Iterative Rational Krylov Algorithm (IRKA) for interpolatory model reduction. IRKA requires solving sequences of slowly changing dual linear systems. We show up to 70% savings in iterations, and also demonstrate that for a model reduction problem BiCG takes (about) 50% more time than recycling BiCG.

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preprint2011arXiv

Structure-preserving tangential interpolation for model reduction of port-Hamiltonian Systems

Port-Hamiltonian systems result from port-based network modeling of physical systems and are an important example of passive state-space systems. In this paper, we develop the framework for model reduction of large-scale multi-input/multi-output port-Hamiltonian systems via tangential rational interpolation. The resulting reduced-order model not only is a rational tangential interpolant but also retains the port-Hamiltonian structure; hence is passive. This reduction methodology is described in both energy and co-energy system coordinates. We also introduce an $\mathcal{H}_2$-inspired algorithm for effectively choosing the interpolation points and tangential directions. The algorithm leads a reduced port-Hamiltonian model that satisfies a subset of $\mathcal{H}_2$-optimality conditions. We present several numerical examples that illustrate the effectiveness of the proposed method showing that it outperforms other existing techniques in both quality and numerical efficiency.

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