A Subspace Framework for ℒ_∞ Model Reduction
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We consider the problem of locating a nearest descriptor system of prescribed reduced order to a descriptor system with large order with respect to the ℒ_∞ norm. Widely employed approaches such as the balanced truncation and best Hankel norm approximation for this ℒ_∞ model reduction problem are usually expensive and yield solutions that are not optimal, not even locally. We propose approaches based on the minimization of the ℒ_∞ objective by means of smooth optimization techniques. As we illustrate, direct applications of smooth optimization techniques are not feasible, since the optimization techniques converge at best at a linear rate requiring too many evaluations of the costly ℒ_∞-norm objective to be practical. We replace the original large-scale system with a system of smaller order that interpolates the original system at points on the imaginary axis, and minimize the ℒ_∞ objective after this replacement. The smaller system is refined by interpolating at additional imaginary points determined based on the local minimizer of the ℒ_∞ objective, and the optimization is repeated. We argue the framework converges at a quadratic rate under smoothness and nondegeneracy assumptions, and describe how asymptotic stability constraints on the reduced system sought can be incorporated into our approach. The numerical experiments on benchmark examples illustrate that the approach leads to locally optimal solutions to the ℒ_∞ model reduction problem, and the convergence occurs quickly for descriptors systems of order a few ten thousands.
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