A novel model order reduction framework via staggered reduced basis space-time finite elements in linear first order transient systems

Author(s):  
R. Deokar ◽  
K.K. Tamma
2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Andreas Binder ◽  
Onkar Jadhav ◽  
Volker Mehrmann

AbstractThis paper presents a model order reduction approach for large scale high dimensional parametric models arising in the analysis of financial risk. To understand the risks associated with a financial product, one has to perform several thousand computationally demanding simulations of the model which require efficient algorithms. We establish a model reduction approach based on a variant of the proper orthogonal decomposition method to generate small model approximations for the high dimensional parametric convection-diffusion-reaction partial differential equations. This approach requires to solve the full model at some selected parameter values to generate a reduced basis. We propose an adaptive greedy sampling technique based on surrogate modeling for the selection of the sample parameter set. The new technique is analyzed, implemented, and tested on industrial data of a floater with cap and floor under the Hull–White model. The results illustrate that the reduced model approach works well for short-rate models.


Author(s):  
Y. Paquay ◽  
O. Brüls ◽  
C. Geuzaine

In the model order reduction community, linear systems have been widely studied and reduced thanks to various techniques. Proper Orthogonal Decomposition (POD) in particular has been very successful, and has recently been gaining popularity in computational electromagnetics. However, the efficiency of POD degrades considerably for nonlinear problems, in particular for nonlinear magnetodynamic models---necessary for designing most of today's electrical machines and drives. We propose to investigate an algorithm which first applies the POD to construct reduced order models of nonlinear magnetodynamic problems for discrete sets of values of the input parameters. Then, for a new set of values of the input parameters, a nonlinear interpolation on manifolds is performed to determine the reduced basis. This interpolation method is based on the theory previously studied for aerodynamic problems. The goal here is not to speed up single shot calculations, but to be able to determine efficiently reduced models for nonlinear problems based on previous offline computations. As a simple application, we apply the procedure to a nonlinear inductor-core system, solved using a classical finite element method. In order to gauge the interest of manifold interpolation we compare the proposed approach to the direct use of a precomputed reduced basis, as well as with the use of standard Lagrange interpolation.


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