An approximate approach to H 2 optimal model reduction

Abstract

This paper deals with the problem of computing an H 2 optimal reduced-order model for a given stable multivariable linear system. By way of orthogonal projection, the problem is formulated as that of minimizing the H 2 model-reduction cost over the Stiefel manifold so that the stability constraint on reduced-order models is automatically satisfied and thus totally avoided in the new problem formulation. The closed form expression for the gradient of the cost over the manifold is derived, from which a gradient flow results as an ordinary differential equation (ODE). A number of nice properties about such a flow are established. Furthermore, two explicit iterative convergent algorithms are developed from the flow; one has a constant step-size and the other has a varying step-size and is much more efficient. Both of them inherit the properties that the iterates remain on the manifold starting from any orthogonal initial point and that the model reduction cost is decreasing to minima along the iterates. A procedure for closing the gap between the original and modified problem is proposed. In the symmetric case, the two problems are shown to be equivalent. Numerical examples are presented to illustrate the effectiveness of the proposed algorithms as well as convergence.