scholarly journals Chapter 4: Low-Rank Methods for High-Dimensional Approximation and Model Order Reduction

2017 ◽  
pp. 171-226 ◽  
Author(s):  
Anthony Nouy
2021 ◽  
Vol 2021 ◽  
pp. 1-19
Author(s):  
Kuan Lu ◽  
Kangyu Zhang ◽  
Haopeng Zhang ◽  
Xiaohui Gu ◽  
Yulin Jin ◽  
...  

The large-scale structure systems in engineering are complex, high dimensional, and variety of physical mechanism couplings; it will be difficult to analyze the dynamic behaviors of complex systems quickly and optimize system parameters. Model order reduction (MOR) is an efficient way to address those problems and widely applied in the engineering areas. This paper focuses on the model order reduction of high-dimensional complex systems and reviews basic theories, well-posedness, and limitations of common methods of the model order reduction using the following methods: center manifold, Lyapunov–Schmidt (L-S), Galerkin, modal synthesis, and proper orthogonal decomposition (POD) methods. The POD is a powerful and effective model order reduction method, which aims at obtaining the most important components of a high-dimensional complex system by using a few proper orthogonal modes, and it is widely studied and applied by a large number of researchers in the past few decades. In this paper, the POD method is introduced in detail and the main characteristics and the existing problems of this method are also discussed. POD is classified into two categories in terms of the sampling and the parameter robustness, and the research progresses in the recent years are presented to the domestic researchers for the study and application. Finally, the outlooks of model order reduction of high-dimensional complex systems are provided for future work.


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.


Integration ◽  
2019 ◽  
Vol 66 ◽  
pp. 1-8 ◽  
Author(s):  
George Floros ◽  
Nestor Evmorfopoulos ◽  
George Stamoulis

2018 ◽  
Vol 10 (2) ◽  
pp. 94
Author(s):  
Shazzad Hasan ◽  
M. Monir Uddin

This paper studies the structure preserving (second-order to second-order) model order reduction of second-order systems applying the projection onto the dominant eigenspace of the Gramians of the systems. The projectors which create the reduced order model are generated cheaply from the low-rank Gramian factors. The low-rank Gramian factors are computed efficiently by solving the corresponding Lyapunov equations of the system using the rational Krylov subspace method. The efficiency of the theoretical results are then illustrated by numerical experiments.


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