Matthias Voigt

Andrea Angino, Matteo Aurina, Alena Kopaničáková et al.

We introduce two multifidelity trust-region methods based on the Magical Trust Region (MTR) framework. MTR augments the classical trust-region step with a secondary, informative direction. In our approaches, the secondary ``magical'' directions are determined by solving coarse trust-region subproblems based on low-fidelity objective models. The first proposed method, Sketched Trust-Region (STR), constructs this secondary direction using a sketched matrix to reduce the dimensionality of the trust-region subproblem. The second method, SVD Trust-Region (SVDTR), defines the magical direction via a truncated singular value decomposition of the dataset, capturing the leading directions of variability. Several numerical examples illustrate the potential gain in efficiency.

Nicat Aliyev, Peter Benner, Emre Mengi et al.

We deal with the minimization of the ${\mathcal H}_\infty$-norm of the transfer function of a parameter-dependent descriptor system over the set of admissible parameter values. Subspace frameworks are proposed for such minimization problems where the involved systems are of large order. The proposed algorithms are greedy interpolatory approaches inspired by our recent work [Aliyev et al., SIAM J. Matrix Anal. Appl., 38(4):1496--1516, 2017] for the computation of the ${\mathcal H}_\infty$-norm. In this work, we minimize the ${\mathcal H}_\infty$-norm of a reduced-order parameter-dependent system obtained by two-sided restrictions onto certain subspaces. Then we expand the subspaces so that Hermite interpolation properties hold between the full and reduced-order system at the optimal parameter value for the reduced order system. We formally establish the superlinear convergence of the subspace frameworks under some smoothness assumptions. The fast convergence of the proposed frameworks in practice is illustrated by several large-scale systems.

Nicat Aliyev, Peter Benner, Emre Mengi et al.

We are concerned with the computation of the ${\mathcal L}_\infty$-norm for an ${\mathcal L}_\infty$-function of the form $H(s) = C(s) D(s)^{-1} B(s)$, where the middle factor is the inverse of a meromorphic matrix-valued function, and $C(s),\, B(s)$ are meromorphic functions mapping to short-and-fat and tall-and-skinny matrices, respectively. For instance, transfer functions of descriptor systems and delay systems fall into this family. We focus on the case where the middle factor is large-scale. We propose a subspace projection method to obtain approximations of the function $H$ where the middle factor is of much smaller dimension. The ${\mathcal L}_\infty$-norms are computed for the resulting reduced functions, then the subspaces are refined by means of the optimal points on the imaginary axis where the ${\mathcal L}_\infty$-norm of the reduced function is attained. The subspace method is designed so that certain Hermite interpolation properties hold between the largest singular values of the original and reduced functions. This leads to a locally superlinearly convergent algorithm with respect to the subspace dimension, which we prove and illustrate on various numerical examples.