Least Squares Rational Approximation
This work provides a new optimization approach for rational approximation with dense weight matrices, addressing a bottleneck in applications like H2 model reduction.
The authors developed a nonlinear least squares method for rational approximation with respect to a weighted l2 norm with a square dense weighting matrix, using Variable Projection to reduce optimization dimension. The method, when initialized with AAA algorithm poles, effectively mitigates convergence to suboptimal local minima and handles ill-conditioned weight matrices.
Rational approximation appears in many contexts throughout science and engineering, playing a central role in linear systems theory, special function approximation, and many others. There are many existing methods for solving the rational approximation problem, from fixed point methods like the Sanathanan-Koerner iteration and Vector Fitting, to partial interpolation methods like Adaptive Anderson Antoulas (AAA). While these methods can often find rational approximations with a small residual norm, they are unable to find optimizers with respect to a weighted l2 norm with a square dense weighting matrix. Here we develop a nonlinear least squares approach constructing rational approximations with respect to this norm. We explore this approach using two parameterizations of rational functions: a ratio of two polynomials and a partial fraction expansion. In both cases, we show how we can use Variable Projection (VARPRO) to reduce the dimension of the optimization problem. As many applications seek a real rational approximation that can be described as a ratio of two real polynomials, we show how this constraint can be enforced in both parameterizations. Although this nonlinear least squares approach often converge to suboptimal local minimizers, we find this can be largely mitigated by initializing the algorithm using the poles of the AAA algorithm applied to the same data. This combination of initialization and nonlinear least squares enables us to construct rational approximants using dense and potentially ill-conditioned weight matrices such as those that appear as a step in new H2 model reduction algorithm recently developed by the authors.