H2\mathcal{H}_2 Pseudo-Optimal Reduction of Structured DAEs by Rational Interpolation

In this contribution, we extend the concept of $\mathcal{H}_2$ inner product and $\mathcal{H}_2$ pseudo-optimality to dynamical systems modeled by differential-algebraic equations (DAEs). To this end, we derive projected Sylvester equations that characterize the $\mathcal{H}_2$ inner product in terms of the matrices of the DAE realization. Using this result, we extend the $\mathcal{H}_2$ pseudo-optimal rational Krylov algorithm for ordinary differential equations to the DAE case. This algorithm computes the globally optimal reduced-order model for a given subspace of $\mathcal{H}_2$ defined by poles and input residual directions. Necessary and sufficient conditions for $\mathcal{H}_2$ pseudo-optimality are derived using the new formulation of the $\mathcal{H}_2$ inner product in terms of tangential interpolation conditions. Based on these conditions, the cumulative reduction procedure combined with the adaptive rational Krylov algorithm, known as CUREd SPARK, is extended to DAEs. Important properties of this procedure are that it guarantees stability preservation and adaptively selects interpolation frequencies and reduced order. Numerical examples are used to illustrate the theoretical discussion. Even though the results apply in theory to general DAEs, special structures will be exploited for numerically efficient implementations

From low-rank approximation to an efficient rational Krylov subspace method for the Lyapunov equation

We propose a new method for the approximate solution of the Lyapunov equation with rank-$1$ right-hand side, which is based on extended rational Krylov subspace approximation with adaptively computed shifts. The shift selection is obtained from the connection between the Lyapunov equation, solution of systems of linear ODEs and alternating least squares method for low-rank approximation. The numerical experiments confirm the effectiveness of our approach.Comment: 17 pages, 1 figure