Christopher Beattie

Christopher Beattie, Serkan Gugercin

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.

Garret Flagg, Christopher Beattie, Serkan Gugercin

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.

Philipp Schulze, Benjamin Unger, Christopher Beattie et al.

We present a framework for constructing structured realizations of linear dynamical systems having transfer functions of the form $C(\sum_{k=1}^K h_k(s)A_k)^{-1}B$ where $h_1,h_2,\ldots,h_K$ are prescribed functions that specify the surmised structure of the model. Our construction is data-driven in the sense that an interpolant is derived entirely from measurements of a transfer function. Our approach extends the Loewner realization framework to more general system structure that includes second-order (and higher) systems as well as systems with internal delays. Numerical examples demonstrate the advantages of this approach.

Zlatko Drmac, Serkan Gugercin, Christopher Beattie

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.

Serkan Gugercin, Rostyslav V. Polyuga, Christopher Beattie et al.

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.

Tobias Breiten, Christopher Beattie, Serkan Gugercin

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.

Garret Flagg, Christopher Beattie, Serkan Gugercin

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.

Alexander Grimm, Christopher Beattie, Zlatko Drmač et al.

Given a set of response observations for a parametrized dynamical system, we seek a parametrized dynamical model that will yield uniformly small response error over a range of parameter values yet has low order. Frequently, access to internal system dynamics or equivalently, to realizations of the original system is either not possible or not practical; only response observations over a range of parameter settings might be known. Respecting these typical operational constraints, we propose a two phase approach that first encodes the response data into a high fidelity intermediate model of modest order, followed then by a compression stage that serves to eliminate redundancy in the intermediate model. For the first phase, we extend non-parametric least-squares fitting approaches so as to accommodate parameterized systems. This results in a (discrete) least-squares problem formulated with respect to both frequency and parameter that identifies "local" system response features. The second phase uses an $\mathbf{\mathcal{H}}_2$-optimal model reduction strategy accommodating the specialized parametric structure of the intermediate model obtained in the first phase. The final compressed model inherits the parametric dependence of the intermediate model and maintains the high fidelity of the intermediate model, while generally having dramatically smaller system order. We provide a variety of numerical examples demonstrating our approach.

Christopher Beattie, David Higdon, Leanna House et al.

Gaussian processes (GPs) defined through intrinsic random fields provide a flexible framework for modeling spatial phenomena, and have been advocated in a variety of applications over the past several decades. Nevertheless, their adoption has lagged behind traditional, covariance-based approaches, in part because the intrinsic formulation has lacked an accompanying toolkit of computational methods and dependence specifications that facilitate fitting and prediction. We develop here a systematic framework for modeling intrinsic GPs and introduce practical algorithms and dependence/variogram models for modeling, inference and computation that parallel those of traditional, stationary GPs. We explore a close connection between intrinsic GP models and rational approximation, which clarifies the underlying problem structure. Numerical examples illustrate how the new tools can be deployed in practice, highlighting the advantages of intrinsic-field modeling in terms of robustness, interpretability, and computational efficiency.