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Basics of Systems and Control Theory for pyMOR Jens Saak September 30, 2020 pyMOR Online Course 2020
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Page 1: Basics of Systems and Control Theory for pyMOR

Basics of Systems and ControlTheory for pyMORJens Saak

September 30, 2020

pyMOR Online Course 2020

Page 2: Basics of Systems and Control Theory for pyMOR

Σu y

Page 3: Basics of Systems and Control Theory for pyMOR

E x(t) = A x(t) + B u(t)

y(t) = C x(t) + D u(t)

MOR

E

˙x(t) =A

x(t) +B

u(t)

y(t) = C x(t) + D u(t)

Page 4: Basics of Systems and Control Theory for pyMOR

Outline

1 Linear Time-Invariant (LTI) Systems

2 Transfer Function and Realizations

3 System Analysis

4 A Selection of MOR Methods

Page 5: Basics of Systems and Control Theory for pyMOR

Restrictions for this lecture

• Only continuous-time systemsDiscrete-time is treated in [1]

• No differential-algebraic systemsFor DAE aspects see [6, 3, 4, 5]

• No non-linearities

• No parameter dependencies

Page 6: Basics of Systems and Control Theory for pyMOR

Outline

1 Linear Time-Invariant (LTI) Systems

• Setting for this course

• Examples

2 Transfer Function and Realizations

3 System Analysis

4 A Selection of MOR Methods

Page 7: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Setting for this course

First-order State-space Systems ( : LTIModel)

E

x(t) = Ax(t) + Bu(t),

y(t) = Cx(t) + Du(t).(Σ)

Here

• x(t) ∈ Rn is called the state,

• u(t) ∈ Rm is called the input,

• y(t) ∈ Rp is called the output

of the LTI system. Correspondingly, we have

E,

A ∈ Rn×n, B ∈ Rn×m, C ∈ Rp×n and D ∈ Rp×m.

We assume t ∈ [0,∞), x(0) = 0.

3 / 37

Page 8: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Setting for this course

First-order State-space Systems ( : LTIModel)

E

x(t) = Ax(t) + Bu(t),

y(t) = Cx(t).(Σ)

Here

• x(t) ∈ Rn is called the state,

• u(t) ∈ Rm is called the input,

• y(t) ∈ Rp is called the output

of the LTI system. Correspondingly, we have

E,

A ∈ Rn×n, B ∈ Rn×m, C ∈ Rp×n.

We assume t ∈ [0,∞), x(0) = 0.

3 / 37

Page 9: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Setting for this course

First-order State-space Systems ( : LTIModel)

Ex(t) = Ax(t) + Bu(t),

y(t) = Cx(t).(Σ)

Here

• x(t) ∈ Rn is called the state,

• u(t) ∈ Rm is called the input,

• y(t) ∈ Rp is called the output

of the LTI system. Correspondingly, we have

E, A ∈ Rn×n, B ∈ Rn×m, C ∈ Rp×n.

We assume t ∈ [0,∞), x(0) = 0 andE invertible.

3 / 37

Page 10: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Setting for this course

Second-order State-space Systems ( : SecondOrderModel)

Mx(t) + Ex(t) + Kx(t) = Bu(t),

y(t) = Cvx(t) + Cpx(t).

Here

• x(t) ∈ Rn is called the position,

• x(t) ∈ Rn is called the velocity,

• u(t) ∈ Rm is called the input,

• y(t) ∈ Rp is called the output

of the LTI system. Correspondingly, we have

M, E, K ∈ Rn×n, B ∈ Rn×m, Cv, Cp ∈ Rp×n.

4 / 37

Page 11: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Examples

Heat Equation [MORWiki thermal block] I

For t ∈ (0, T ), ξ ∈ Ω and initial values

θ(0, ξ) = 0, for ξ ∈ Ω,

consider

∂tθ(t, ξ) +∇ · (−σ(ξ)∇θ(t, ξ)) = 0,

with boundary conditions

σ(ξ)∇θ(t, ξ) · n(ξ) = u(t) t ∈ (0, T ), ξ ∈ Γin,

σ(ξ)∇θ(t, ξ) · n(ξ) = 0 t ∈ (0, T ), ξ ∈ ΓN ,

θ(t, ξ) = 0 t ∈ (0, T ), ξ ∈ ΓD.

0.2

0.2

0.4

0.4

0.6

0.6

0.8

0.8

(0,0)

(0,1)

(1,0)

(1,1)

Ω0

Ω1 Ω2

Ω3Ω4

Γin

ΓN

ΓN

ΓD

5 / 37

Page 12: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Examples

Heat Equation [MORWiki thermal block] II

Finite element semi-discretization in space

• pairwise inner products of ansatz functions E

• discretized spatial operator + Dirichlet boundary condition A

• discretized non-zero Neumann boundary condition B

• average temperatures on the inclusions C

• n = 7 488

• m = 1

• p = 4

6 / 37

Page 13: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Examples

An Artificial Fishtail [MORWiki Artificial Fishtail] I

Construction: Fluid Elastomer Actuation:

no pressure

under pressure

7 / 37

Page 14: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Examples

An Artificial Fishtail [MORWiki Artificial Fishtail] II

Variables:

• displacement ~s(t, ~z)

• strain ~ε(~s(t, ~z))

• stress ~σ(~s(t, ~z))

Material parameters:

• density ρ

• Lamé parameters λ, µ

Basic principle:

~ε(~s(t, ~z)) =1

2

(∇~s(t, ~z) +∇T~s(t, ~z)

)(kinematic equation)

~σ(~s(t, ~z)) = λ tr((~ε(~s(t, ~z))) I + 2µ~ε(~s(t, ~z))) (material equation)

ρ∂2~s(t, ~z)

∂t2= ∇ · ~σ(~s(t, ~z)) + ~f(t, ~z) (equation of motion)

+ initial and boundary conditions

8 / 37

Page 15: Basics of Systems and Control Theory for pyMOR

Linear Time-Invariant (LTI) Systems | Examples

An Artificial Fishtail [MORWiki Artificial Fishtail] III

FEM semi-discretization:

Mx(t) + Ex(t) + Kx(t) = Bu(t),

y(t) = Cpx(t),

with

• M,E,K > 0,Cv = 0,

• n = 779 232,m = 1, p = 3.

10−3 10−1 101 10310−12

10−7

10−2

frequency (Hz)

Mag

nitu

de

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

0

1

2

3·10−2

time (s)

disp

lace

men

t(m

)

9 / 37

Page 16: Basics of Systems and Control Theory for pyMOR

Outline

1 Linear Time-Invariant (LTI) Systems

2 Transfer Function and Realizations

• Laplace Transform

• Transfer Function

• Realizations

• Projection-based MOR

3 System Analysis

4 A Selection of MOR Methods

Page 17: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Laplace Transform

Definition

Let f : [0,∞)→ Rn be exponentially bounded with bounding exponent α. Then

Lf (s) :=∫ ∞

0

f(τ)e−sτdτ

for Re(s) > α is called the Laplace transform of f . The process of forming theLaplace transform is called Laplace transformation.

It can be shown that the integral converges uniformly in a domain with Re(s) ≥ β forall β > α.

Allows us to map time signals to frequency signals.

10 / 37

Page 18: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Laplace Transform

Definition

Let f : [0,∞)→ Rn be exponentially bounded with bounding exponent α. Then

Lf (s) :=∫ ∞

0

f(τ)e−sτdτ

for Re(s) > α is called the Laplace transform of f . The process of forming theLaplace transform is called Laplace transformation.

It can be shown that the integral converges uniformly in a domain with Re(s) ≥ β forall β > α.

Allows us to map time signals to frequency signals.

10 / 37

Page 19: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Laplace Transform

Theorem

Let f, g, h : [0,∞)→ Rn be given. Then the following two statements hold true:

a) The Laplace transformation is linear, i. e., if f and g are exponentially bounded, thenh := γf + δg is also exponentially bounded and

Lh = γLf+ δLg

holds for all γ, δ ∈ C.b) If f ∈ PC1([0,∞),Rn) and f is exponentially bounded, then f is exponentially

bounded andLf

(s) = sLf(s)− f(0).

• X(s) := Lx(s), U(s) := Lu(s), and Y (s) := Ly(s)• Ax(t) + Bu(t) AX(s) + BU(s)

• y(t) = Cx(t) Y (s) = CX(s)

• sX(s) := Lx(s) since x(0) = 0

11 / 37

Page 20: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Laplace Transform

Theorem

Let f, g, h : [0,∞)→ Rn be given. Then the following two statements hold true:

a) The Laplace transformation is linear, i. e., if f and g are exponentially bounded, thenh := γf + δg is also exponentially bounded and

Lh = γLf+ δLg

holds for all γ, δ ∈ C.b) If f ∈ PC1([0,∞),Rn) and f is exponentially bounded, then f is exponentially

bounded andLf

(s) = sLf(s)− f(0).

• X(s) := Lx(s), U(s) := Lu(s), and Y (s) := Ly(s)• Ax(t) + Bu(t) AX(s) + BU(s)

• y(t) = Cx(t) Y (s) = CX(s)

• sX(s) := Lx(s) since x(0) = 0

11 / 37

Page 21: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Transfer Function

Rational Matrix Function Representation

In summary we have:

• sEX(s) = AX(s) + BU(s)

• Y (s) = CX(s)

Thus the mapping from inputs to outputs in frequency domain can be expressed as

H(s) = C(sE−A)−1B.

Analogously, for second-order systems we get

H(s) = (sCv +Cp)(s2M+ sE+K

)−1B.

H is analytic inC \ Λ(E,A), orC \ Λ(M,E,K), respectively

12 / 37

Page 22: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Transfer Function

Rational Matrix Function Representation

In summary we have:

• sEX(s) = AX(s) + BU(s)

• Y (s) = CX(s)

Thus the mapping from inputs to outputs in frequency domain can be expressed as

H(s) = C(sE−A)−1B.

Analogously, for second-order systems we get

H(s) = (sCv +Cp)(s2M+ sE+K

)−1B.

H is analytic inC \ Λ(E,A), orC \ Λ(M,E,K), respectively

12 / 37

Page 23: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Transfer Function

Rational Matrix Function Representation

In summary we have:

• sEX(s) = AX(s) + BU(s)

• Y (s) = CX(s)

Thus the mapping from inputs to outputs in frequency domain can be expressed as

H(s) = C(sE−A)−1B.

Analogously, for second-order systems we get

H(s) = (sCv +Cp)(s2M+ sE+K

)−1B.

H is analytic inC \ Λ(E,A), orC \ Λ(M,E,K), respectively

12 / 37

Page 24: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Transfer Function

Important Representations of H(s)

(Laurent) series expansion

H(s) =

∞∑

k=0

(s− s0)kMk(s0) H(s) =

∞∑

k=0

s−kMk(∞)

The matricesMk(s0) are calledmoments ofH. At infinity they are also referred toasMarkov parameters.

Pole Residue Form

Let (λi, wi, vi) be the eigentriplets of the pair (A,E) with no degenerateeigenspaces. Then we have

H(s) =

n∑

i=1

Ris− λi

,

whereRi = (Cvi)(wHi B), assumingwH

i vi = 1.

13 / 37

Page 25: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

The representation ofH using (E,A,B,C) is not unique.

In fact for any invertible matrixT ∈ Rn×n, we have

H(s) = C(sE−A)−1

B

= CT−1T(sE−A)−1

T−1TB

= CT−1(sTET−1 −TAT−1

)−1TB

and thus a system given, by (TET−1,TAT−1,TB,CT−1) realizes the exact sameinput/output behavior.

Definition

• All sets of matrices leading to the same functionH are called its realizations.

• The matrixT above is called state-space transformation.

14 / 37

Page 26: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

Important Realizations

• Minimal RealizationsCan we realizeH with less equations?

• Truncated RealizationsCan we introduce a small error to get even less equations?

• Balanced Realizations see here

Can we find state coordinates that allow us to decide what is important?

15 / 37

Page 27: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

Important Realizations

• Minimal RealizationsCan we realizeH with less equations?

• Truncated RealizationsCan we introduce a small error to get even less equations?

• Balanced Realizations see here

Can we find state coordinates that allow us to decide what is important?

15 / 37

Page 28: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

Important Realizations

• Minimal RealizationsCan we realizeH with less equations?

• Truncated RealizationsCan we introduce a small error to get even less equations?

• Balanced Realizations see here

Can we find state coordinates that allow us to decide what is important?

15 / 37

Page 29: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

McMillan Degree and Minimal Realization

ExampleRealizations can even be of different dimensions. Take for example:

E = I the identity,A =

[−11 0

0 −5

],B =

[11

]andC =

[1 0

].

Truncating the second state component does not changeH.

Definition

There exists a minimum number of equations necessary to describeH. The statedimension n of this minimal set of equations is calledMcMillan degree of thesystem. A realization ofH with this dimension is calledminimal realization.

16 / 37

Page 30: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

Truncated Realizations via Ritz/Petrov-Galerkin Projection

Ex(t)−Ax(t)−Bu(t) = 0,

y(t)−Cx(t)−Du(t) = 0.

Step I: Use truncated state transformationReplace

x(t) ≈ Vx(t)

withV ∈ Rn×r and x(t) ∈ Rr .

Step II: Mitigate transformation errorSuppress truncation residual through left projection.

• one-sided method: useV again.

• two-sided method: findW ∈ Rn×r .

17 / 37

Page 31: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

Truncated Realizations via Ritz/Petrov-Galerkin Projection

EV ˙x(t)−AVx(t)−Bu(t) = eres(t),

y(t)−CVx(t)−Du(t) = eoutput(t).

Step I: Use truncated state transformationReplace

x(t) ≈ Vx(t)

withV ∈ Rn×r and x(t) ∈ Rr .

Step II: Mitigate transformation errorSuppress truncation residual through left projection.

• one-sided method: useV again.

• two-sided method: findW ∈ Rn×r .

17 / 37

Page 32: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

Truncated Realizations via Ritz/Petrov-Galerkin Projection

VTEV ˙x(t)−VTAVx(t)−VTBu(t) = 0,

y(t)−CVx(t)−Du(t) = eoutput(t).

Step I: Use truncated state transformationReplace

x(t) ≈ Vx(t)

withV ∈ Rn×r and x(t) ∈ Rr .

Step II: Mitigate transformation errorSuppress truncation residual through left projection.

• one-sided method: useV again.

• two-sided method: findW ∈ Rn×r .

17 / 37

Page 33: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Realizations

Truncated Realizations via Ritz/Petrov-Galerkin Projection

WTEV ˙x(t)−WTAVx(t)−WTBu(t) = 0,

y(t)−CVx(t)−Du(t) = eoutput(t).

Step I: Use truncated state transformationReplace

x(t) ≈ Vx(t)

withV ∈ Rn×r and x(t) ∈ Rr .

Step II: Mitigate transformation errorSuppress truncation residual through left projection.

• one-sided method: useV again.

• two-sided method: findW ∈ Rn×r .

17 / 37

Page 34: Basics of Systems and Control Theory for pyMOR

A ≈

WT

A V

Page 35: Basics of Systems and Control Theory for pyMOR

Transfer Function and Realizations | Projection-based MOR

Reduced order model (ROM) ( : LTIPGReductor)

Define E = WTEV, A = WTAV ∈ Rr×r , B = WTB ∈ Rr×m andC = CV ∈ Rp×r . Then

E ˙x(t) = Ax(t) + Bu(t),

y(t) = Cx(t) + Du(t)(ROM)

approximates the dynamics of the full-order model (Σ) with output error

y(t)− y(t) = eoutput(t).

• We call the corresponding transfer function H.

• Model order reduction (MOR) FindW,V ∈ Rn×r such that eoutput(t) issmall in a suitable sense.

• We will see energy-based and interpolation-based methods today and tomorrow.

19 / 37

Page 36: Basics of Systems and Control Theory for pyMOR

Outline

1 Linear Time-Invariant (LTI) Systems

2 Transfer Function and Realizations

3 System Analysis

• System Norms and Hardy Spaces

• Frequency-Domain Analysis

4 A Selection of MOR Methods

Page 37: Basics of Systems and Control Theory for pyMOR

System Analysis | System Norms and Hardy Spaces

We haveY (s) = H(s)U(s)

andY (s) = H(s)U(s).

Question

What are suitable norms such that

‖y − y‖ ≤∥∥∥H− H

∥∥∥ ‖u‖?

20 / 37

Page 38: Basics of Systems and Control Theory for pyMOR

System Analysis | System Norms and Hardy Spaces

The Banach SpaceHp×m∞

Hp×m∞ :=

G : C+ → Cp×m : G is analytic inC+ and sup

s∈C+

‖G(s)‖2 <∞.

Hp×m∞ is a Banach space equipped with theH∞-norm

‖G‖H∞ := supω∈R‖G(iω)‖2 .

Can show: ‖y − y‖L2≤∥∥∥H− H

∥∥∥H∞‖u‖L2

.

This bound can even be shown to be sharp.

21 / 37

Page 39: Basics of Systems and Control Theory for pyMOR

System Analysis | System Norms and Hardy Spaces

The Banach SpaceHp×m∞

Hp×m∞ :=

G : C+ → Cp×m : G is analytic inC+ and sup

s∈C+

‖G(s)‖2 <∞.

Hp×m∞ is a Banach space equipped with theH∞-norm

‖G‖H∞ := supω∈R‖G(iω)‖2 .

Can show: ‖y − y‖L2≤∥∥∥H− H

∥∥∥H∞‖u‖L2

.

This bound can even be shown to be sharp.

21 / 37

Page 40: Basics of Systems and Control Theory for pyMOR

System Analysis | System Norms and Hardy Spaces

The Banach SpaceHp×m∞

Hp×m∞ :=

G : C+ → Cp×m : G is analytic inC+ and sup

s∈C+

‖G(s)‖2 <∞.

Hp×m∞ is a Banach space equipped with theH∞-norm

‖G‖H∞ := supω∈R‖G(iω)‖2 .

Can show: ‖y − y‖L2≤∥∥∥H− H

∥∥∥H∞‖u‖L2

.

This bound can even be shown to be sharp.

21 / 37

Page 41: Basics of Systems and Control Theory for pyMOR

System Analysis | System Norms and Hardy Spaces

The Hilbert SpaceHp×m2

Hp×m2 :=

G : C+ → Cp×m : G is analytic inC+ and

supξ>0

∫ ∞

−∞‖G(ξ + iω)‖2F dω <∞

.

Hp×m2 is a Hilbert space with the inner product

〈F,G〉H2:=

1

∫ ∞

−∞tr(F (iω)

HG(iω)

)dω

and induced norm

‖G‖H2:= 〈G,G〉1/2H2

=

(1

∫ ∞

−∞‖G(iω)‖2F dω

)1/2

.

Can show: ‖y − y‖L∞ ≤∥∥∥H− H

∥∥∥H2

‖u‖L2.

22 / 37

Page 42: Basics of Systems and Control Theory for pyMOR

System Analysis | System Norms and Hardy Spaces

The Hilbert SpaceHp×m2

Hp×m2 :=

G : C+ → Cp×m : G is analytic inC+ and

supξ>0

∫ ∞

−∞‖G(ξ + iω)‖2F dω <∞

.

Hp×m2 is a Hilbert space with the inner product

〈F,G〉H2:=

1

∫ ∞

−∞tr(F (iω)

HG(iω)

)dω

and induced norm

‖G‖H2:= 〈G,G〉1/2H2

=

(1

∫ ∞

−∞‖G(iω)‖2F dω

)1/2

.

Can show: ‖y − y‖L∞ ≤∥∥∥H− H

∥∥∥H2

‖u‖L2.

22 / 37

Page 43: Basics of Systems and Control Theory for pyMOR

System Analysis | System Norms and Hardy Spaces

The Hilbert SpaceHp×m2

Hp×m2 :=

G : C+ → Cp×m : G is analytic inC+ and

supξ>0

∫ ∞

−∞‖G(ξ + iω)‖2F dω <∞

.

Hp×m2 is a Hilbert space with the inner product

〈F,G〉H2:=

1

∫ ∞

−∞tr(F (iω)

HG(iω)

)dω

and induced norm

‖G‖H2:= 〈G,G〉1/2H2

=

(1

∫ ∞

−∞‖G(iω)‖2F dω

)1/2

.

Can show: ‖y − y‖L∞ ≤∥∥∥H− H

∥∥∥H2

‖u‖L2.

22 / 37

Page 44: Basics of Systems and Control Theory for pyMOR

System Analysis | System Norms and Hardy Spaces

System Gramians andH2-trace-formula

A system (Σ) with Λ(E,A) ⊂ C− is called asymptotically stable. Then, all statetrajectories decay exponentially as t→∞ and

a) the infinite controllability and observability Gramians exist:

P =

∫ ∞

0

eE−1AtE−1BBTE−TeA

TE−Ttdt

ETQE =

∫ ∞

0

eATE−TtCTCeE

−1Atdt.

b) P,Q solve the two Lyapunov equations

APET + EPAT = −BBT, ATQE + ETQA = −CTC

c) theH2-norm can be expressed as

‖H‖2H2= tr

(CPCT

)= tr

(BTQB

).

23 / 37

Page 45: Basics of Systems and Control Theory for pyMOR

System Analysis | Frequency-Domain Analysis

Bode Plots

The Bode plot forH consists of amagnitude plot and a phase plot.

Bode magnitude plot

• component-wise graph of the function |H(iω)| for frequenciesω ∈ [ωmin, ωmax] ⊂ R.• ω-axis is logarithmic.

• magnitude is given in decibels, i.e., |H(i.)| is plotted as 20 log10(|H(i.)|).

Bode phase plot

• component-wise graph of the function argH(iω) for frequenciesω ∈ [ωmin, ωmax] ⊂ R.• ω-axis is logarithmic.

• phase is given in degrees on a linear scale.

24 / 37

Page 46: Basics of Systems and Control Theory for pyMOR

System Analysis | Frequency-Domain Analysis

Bode Plot for the Thermal Block Example

−400

−200

0

Magnitude

(dB)

10−3 10−2 10−1 100 101 102 103

−2,000

−1,000

0

Frequency (Hz)

Phase

25 / 37

Page 47: Basics of Systems and Control Theory for pyMOR

System Analysis | Frequency-Domain Analysis

(Sigma) Magnitude Plots

Sigma magnitude plot

• 2-norm-wise graph of the functionH(iω) for frequenciesω ∈ [ωmin, ωmax] ⊂ R.• ω-axis is logarithmic.

The name is due to the fact that for a given matrixM the norm ‖M‖2 is given by itslargest singular value.

The real sigma magnitude plot depicts all singular values as functions of ω.

26 / 37

Page 48: Basics of Systems and Control Theory for pyMOR

System Analysis | Frequency-Domain Analysis

Sigma Magnitude Plot for the Artificial Fishtail

10−4 10−3 10−2 10−1 100 101 102 103 10410−12

10−9

10−6

10−3

frequency (Hz)

Mag

nitu

de

27 / 37

Page 49: Basics of Systems and Control Theory for pyMOR

Outline

1 Linear Time-Invariant (LTI) Systems

2 Transfer Function and Realizations

3 System Analysis

4 A Selection of MOR Methods

• Balancing Based MOR

• Moments and Interpolation

Page 50: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods | Balancing Based MOR

Balanced Truncation aka. Lyapunov Balancing

Idea:

• The system (Σ), in realization (E = I,A,B,C), is called balanced, if thesolutionsP, Q of the Lyapunov equations

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

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

• σ1, . . . , σn are the Hankel singular values (HSVs) of Σ.• A balanced realization is computed via state space transformation

T : (I,A,B,C) 7→ (I,TAT−1,TB,CT−1)

=

([A11 A12

A21 A22

],

[B1

B2

],[C1 C2

]).

• Truncation reduced order model: (I, A, B, C) = (I,A11,B1,C1).

28 / 37

Page 51: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods | Balancing Based MOR

Balanced Truncation aka. Lyapunov Balancing

Idea:

• The system (Σ), in realization (E = I,A,B,C), is called balanced, if thesolutionsP, Q of the Lyapunov equations

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

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

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

• A balanced realization is computed via state space transformation

T : (I,A,B,C) 7→ (I,TAT−1,TB,CT−1)

=

([A11 A12

A21 A22

],

[B1

B2

],[C1 C2

]).

• Truncation reduced order model: (I, A, B, C) = (I,A11,B1,C1).

28 / 37

Page 52: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods | Balancing Based MOR

Balanced Truncation aka. Lyapunov Balancing

Idea:

• The system (Σ), in realization (E = I,A,B,C), is called balanced, if thesolutionsP, Q of the Lyapunov equations

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

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

• σ1, . . . , σn are the Hankel singular values (HSVs) of Σ.• A balanced realization is computed via state space transformation

T : (I,A,B,C) 7→ (I,TAT−1,TB,CT−1)

=

([A11 A12

A21 A22

],

[B1

B2

],[C1 C2

]).

• Truncation reduced order model: (I, A, B, C) = (I,A11,B1,C1).

28 / 37

Page 53: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods | Balancing Based MOR

Balanced Truncation aka. Lyapunov Balancing

Idea:

• The system (Σ), in realization (E = I,A,B,C), is called balanced, if thesolutionsP, Q of the Lyapunov equations

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

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

• σ1, . . . , σn are the Hankel singular values (HSVs) of Σ.• A balanced realization is computed via state space transformation

T : (I,A,B,C) 7→ (I,TAT−1,TB,CT−1)

=

([A11 A12

A21 A22

],

[B1

B2

],[C1 C2

]).

• Truncation reduced order model: (I, A, B, C) = (I,A11,B1,C1).

28 / 37

Page 54: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods | Balancing Based MOR

Implementation: The Square Root Method

The SR Method ( : BTReductor)

1. Compute (Cholesky) factors of the solutions to the Lyapunov equation,

P = STS, Q = RTR.

2. Compute singular value decomposition

SRT = [U1, U2 ]

[Σ1

Σ2

] [VT

1

VT2

].

3. DefineW := RTV1Σ

−1/21 , V := STU1Σ

−1/21 .

4. Then the reduced order model is (WTAV,WTB,CV).

29 / 37

Page 55: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods | Balancing Based MOR

Implementation: The Square Root Method

The SR Method ( : BTReductor)

1. Compute (Cholesky) factors of the solutions to the Lyapunov equation,

P = STS, Q = RTR.

2. Compute singular value decomposition

SRT = [U1, U2 ]

[Σ1

Σ2

] [VT

1

VT2

].

3. DefineW := RTV1Σ

−1/21 , V := STU1Σ

−1/21 .

4. Then the reduced order model is (WTAV,WTB,CV).

29 / 37

Page 56: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods | Balancing Based MOR

Implementation: The Square Root Method

The SR Method ( : BTReductor)

1. Compute (Cholesky) factors of the solutions to the Lyapunov equation,

P = STS, Q = RTR.

2. Compute singular value decomposition

SRT = [U1, U2 ]

[Σ1

Σ2

] [VT

1

VT2

].

3. DefineW := RTV1Σ

−1/21 , V := STU1Σ

−1/21 .

4. Then the reduced order model is (WTAV,WTB,CV).

29 / 37

Page 57: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods | Balancing Based MOR

Properties

• Lyapunov balancing preserves asymptotic stability.

• We have the a priori error bound:∥∥∥H− H

∥∥∥H∞≤ 2

n∑k=r+1

σk

Variants ( : BRBTReductor, LQGBTReductor)Other versions for special classes of systems or applications exist, such as

• positive-real balancing, (passivity-preserving)

• bounded-real balancing, (contractivity-preserving)

• linear-quadratic Gaussian balancing. (stability preserving)(aims at low-order output feedback controllers)

The given ones all computeP, Q as solutions of algebraic Riccati equations of theform:

0 = APET + EPAT + BBT ± EPCTCPET

0 = ATQE + ETQA+ CTC ± ETQBBTQE.

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Page 58: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods |Moments and Interpolation

Tools I

Lemma (Neumann series)

LetA ∈ Cn×n with spectral radius ρ(A) < 1 be given. Then I−A is invertible and itholds that

(I−A)−1

=

∞∑

k=0

Ak.

Will be important to identify the actual shape of Markov parameters and systemmoments.

31 / 37

Page 59: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods |Moments and Interpolation

Tools II

Definition ((polynomial) Krylov subpace)

Given an invertible matrixA ∈ Rn×n and a vector b ∈ Rn the k-dimensional(polynomial) Krylov subspace is defined as

Kk(A,b) := spanb,Ab,A2b, . . . ,Ak−1b

.

Definition (rational Krylov subpace)

Given an invertible matrixA ∈ Rn×n a vector b ∈ Rn and a vector of shifts s ∈ Rkthe k-dimensional rational Krylov subspace is defined as

Kk(A,b, s) := span

(s1I−A)−1

b, (s2I−A)−1

b, . . . , (skI−A)−1

b.

Orthonormal bases of these spaces should be computed via the Arnoldi iteration.

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Page 60: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods |Moments and Interpolation

Padé-type approximations

Goal

Match the coefficientsMk(s0) orMk(∞) in

H(s) =

∞∑

k=0

(s− s0)kMk(s0) H(s) =

∞∑

k=0

s−kMk(∞)

Motivation (assume:m = p = 1, s large enough)

H(s) = C(sE−A)−1

B = 1sC

(I− 1

sE−1A

)−1︸ ︷︷ ︸=∑∞

k=01

sk(E−1A)k

E−1B

=

∞∑

k=1

C(E−1A)k−1

E−1B 1sk.

33 / 37

Page 61: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods |Moments and Interpolation

Padé-type approximations

Motivation (assume:m = p = 1, s large enough)

H(s) = C(sE−A)−1

B = 1sC

(I− 1

sE−1A

)−1︸ ︷︷ ︸=∑∞

k=01

sk(E−1A)k

E−1B

=

∞∑

k=1

C(E−1A)k−1

E−1B 1sk.

Therefore, we have

Mk(∞) =

0, if k = 0,

C(E−1A)k−1

E−1B, if k ≥ 1. useV = Kr(E−1A,E−1B)

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Page 62: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods |Moments and Interpolation

Padé-type approximations

Approximation at∞

V = Kr(E−1A,E−1B), W = V orW = Kr(ATE−T,CT)

Approximation at s0 = 0

V = Kr(A−1E,A−1B), W = V orW = Kr(ETA−T,CT)

Approximation at s0 ∈ (0,∞)

V = Kr((s0E−A)−1

E, (s0E−A)−1

B), W = V

orW = Kr(ET(s0E

T −AT)−1,CT)

34 / 37

Page 63: Basics of Systems and Control Theory for pyMOR

A Selection of MOR Methods |Moments and Interpolation

Multi-point Moment Matching, Interpolation and IRKA/TSIA

Approximation at s1, . . . , sr

V = Kr(s,E−1A,E−1B), W = V orW = Kr(s,ATE−T,CT).

• W = V as above matches first r moments of (Σ).• W 6= V as above matches first 2r moments of (Σ).• W 6= V as above actually achieves Hermite interpolation ofH, see, e.g., [2].

How do we choose s1, . . . , sr?H2-optimal MOR

Find s = [s1, . . . , sr]T, such that

∥∥∥H− H∥∥∥H2

is minimized.

IRKA iterative improvement of s using Λ(Ej , Aj).( : IRKAReductor)

TSIA run a fixed point iteration on the first order necessary conditions.( : TSIAReductor)

35 / 37

Page 64: Basics of Systems and Control Theory for pyMOR

References

[1] A. C. Antoulas, Approximation of Large-Scale Dynamical Systems, vol. 6 of Adv. Des. Control,SIAM Publications, Philadelphia, PA, 2005,https://doi.org/10.1137/1.9780898718713.

[2] A. C. Antoulas, C. A. Beattie, and S. Gugercin, Interpolatory Methods for Model Reduction,Computational Science & Engineering, Society for Industrial and Applied Mathematics,Philadelphia, PA, 2020, https://doi.org/10.1137/1.9781611976083.

[3] S. Gugercin, T. Stykel, and S. Wyatt, Model reduction of descriptor systems by interpolatoryprojection methods, SIAM J. Sci. Comput., 35 (2013), pp. B1010–B1033,https://doi.org/10.1137/130906635.

[4] V. Mehrmann and T. Stykel, Balanced truncation model reduction for large-scale systems indescriptor form, in Dimension Reduction of Large-Scale Systems, P. Benner, V. Mehrmann, andD. C. Sorensen, eds., vol. 45 of Lect. Notes Comput. Sci. Eng., Springer-Verlag,Berlin/Heidelberg, Germany, 2005, pp. 83–115,https://doi.org/10.1007/3-540-27909-1_3.

[5] T. Stykel, Gramian-based model reduction for descriptor systems, Math. Control Signals Systems,16 (2004), pp. 297–319, https://doi.org/10.1007/s00498-004-0141-4.

[6] M. Voigt, Model reduction, Lecture Notes, Uni Hamburg, 2019,https://www.math.uni-hamburg.de/home/voigt/Modellreduktion_SoSe19/Notes_ModelReduction.pdf.

Page 65: Basics of Systems and Control Theory for pyMOR

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