Nonlinear Systems

January 11, 2012
Model Order Reduction for Nonlinear Systems
Lihong Feng
Max Planck Institute for Dynamics of Complex Technical Systems
Computational Methods in Systems and Control Theory
MAX-PLANCK-INSTITUT
DYNAMIK KOMPLEXER
TECHNISCHER SYSTEME
MAGDEBURG
Max Planck Institute Magdeburg
Idea of MOR
Original large
ODE or PDE
Numerical simulation
of the full model
MOR
Much Faster
Reduced small
ODE or PDE
Numerical simulation
of the small model
Very small differences
Moment-matching MOR
Original linear system
CdX / dt GX Bu(t )
y (t ) LX (t )
Expanding around s0
Laplace transform
X Rn
sCX ( s) GX ( s) BU ( s)
Y ( s) LX ( s)
X ( s ) ( sC G ) B [( s0C G ) 1 C ]i ( s0C G ) 1 B( s s0 ) i
1
i 0
q
[( s0C G ) 1 C ]i ( s0C G ) 1 B( s s0 ) q
i 0
Projection matrix V:
range(V ) span{r , ( s0C G ) 1 Cr , , [( s0C G 1 )C ] j r}

r ( s0C G 1 ) B
Review and motivation

moment-matching MOR
Original large system

CdX / dt GX Bu(t )
X VZ
y (t ) LX (t )
Z R r , r n
CVdZ / dt GVZ Bu (t )
y (t ) LVZ (t )
Galerkin Projection
V Te 0
e CVdZ / dt GVZ Bu (t )
V T CVdZ / dt V T GVZ V T Bu (t )
y (t ) LVZ (t )
Define: C V T CV , G V T GV , B V T B, L LV
C dZ / dt G Z B u (t )
y (t ) L Z (t )
Reduced small system
Review and motivation

moment-matching MOR
Accuracy of the reduced model:

Transfer function
H ( s ) Y ( s ) / U ( s ) L( sC G ) B L[( s0C G ) 1 C ]i ( s0C G ) 1 B( s s0 ) i

1
i 0
1
i
1
Moments: M i L[( s0C G ) C ] ( s0C G ) B, i 0,1,...
If:
range(V ) span{b, ( s0C G ) 1 Cb, , [( s0C G 1 )C ] j b}

b ( s0C G 1 ) B
Then: H (s )
The first j +1 moments are the same
M i M i , i 0, , j
H ( s)
Overview
Linearization MOR.
Qudratic MOR.
Bilinearization MOR.
Variational analysis MOR.
Trajectory piece-wise linear MOR.
Other MOR methods for nonlinear systems.
Conclusions.
References.
Linearization MOR
Original large ODE
CdX / dt f ( X ) Bu(t )
Linearization: approximate
f ( X ) by a linear function
y (t ) LX (t )
Taylor series expansion:

1
f ( X ) f ( X 0 ) D f ( X X 0 ) ( X X 0 )T H f ( X 0 )( X X 0 )
2
f (X 0 ) Df (X X 0 )
f (X )
~
f ( X ) AX
M i ( A1C )i r , i 0,1,...
CdX / dt f ( X 0 ) D f ( X X 0 ) Bu(t )
~
y (t ) LX (t )
u (t )
CdX / dt AX [ B, f ( X 0 ) D f X 0 ]
1
~
y (t ) LX (t )
V orthogonalization{r , M 1r , M 2 r , M j r}
~
r A1 B , M i [( s0C A) 1 C ]i r , i 0,1, .
Model Order Reduction of Parametric Systems
03.02.2012
Example
1
i(t)
2
C
3
C
N-3
N-2
N-1
Y. Chen, MIT thesis 1999.
g ( x1 ) g ( x1 x2 )
g(x x ) g(x x ) 1
1
2
2
3
dX
u (t ),
dt g ( xk 1 xk ) g ( xk xk 1 )
g ( xn 1 xn )
y (t ) LX (t )
g ( x) e40x x 1
g ' ' (0) 2
x
2!
g (0) g ' (0) x 41x
g ( x) g (0) g ' (0) x
82 x1 42 x2
41x 82 x 41x 1

1
2
3
dX
u (t ),
dt 41xk 1 82 xk 41xk 1
41xn 1 41xn
y (t ) LX (t )
8
Example
0.025
voltage at node 1
0.02
0.015
+ q=10
__ full simulation
0.01
0.005
0
0
4
6
time, u(t)=0, t<3, u(t)=1, t>=3;
10
Example
0.025
voltage at node 1
0.02
0.015
+ q=10
-- q=20
__full simulation
0.01
0.005
0
0
4
6
time, u(t)=0, t<3, u(t)=1, t>=3;
10
10
Example
0.025
voltage at node 1
0.02
0.015
+ q=10
-- q=20
0.01
...linear, no reduction
__ full simulation
0.005
0
0
4
6
time, u(t)=0, t<3, u(t)=1, t>=3;
10
11
Quadratic MOR
Approximate f ( X ) by a quadratic polynomial g ( X )
CdX / dt f ( X ) Bu(t )
y (t ) LX (t )
1
2
1
f ( X 0 ) D f ( X X 0 ) ( X X 0 )T H f ( X 0 )( X X 0 )
2
f (X )
~
CdX / dt AX X T WX B u (t )
~
y (t ) LX (t )
X VZ , Z R q , q n
g(X )
~
V T CXdZ / dt V T AVZ Z T V TWVZ V T B u (t )
y (t ) LVZ (t )
V orthogonalization{r , M 1r , M 2 r , M j r}
~
r ( s0C A) 1 B , M i [( s0C A) 1 C ]i r , i 0,1, .
12
Example
1
g ( x1 ) g ( x1 x2 )
i(t)
g(x x ) g(x x ) 1
1
2
2
3
dX
u (t ),
dt g ( xk 1 xk ) g ( xk xk 1 )
g ( xn 1 xn )
y (t ) LX (t )
2
C
3
C
N-3
N-2
N-1
g ( x) e40x x 1
g ' ' (0) 2
g ( x) g (0) g ' (0) x
x
2!
g (0) g ' (0) x 41x 800 x 2
82 x1 42 x2
800 x12 800 ( x1 x2 ) 2

41x 82 x 41x
2
2
800
(
x
x
)
800
(
x
x
)
1
2
3
1
2
2
3
1
dX
u (t ),
2
2
dt 41xk 1 82 xk 41xk 1 800 ( xk 1 xk ) 800 ( xk xk 1 )
0

41xn 1 41xn
800 ( xn 1 xn ) 2
y (t ) LX (t )
13
Example
1
i(t)
2
C
3
C
82 x1 42 x2
800 x 800 ( x1 x2 )

41x 82 x 41x
2
2
800
(
x
x
)
800
(
x
x
)
1
2
3
1
2
2
3
dX
u (t ),
2
2
41
x
82
x
41
x
dt k 1
k
k 1
800 ( xk 1 xk ) 800 ( xk xk 1 )
0

2
41
x
41
x
800 ( xn 1 xn )
n 1
n

2
1
y (t ) LX (t )
~
CdX / dt AX X T WX B u (t )
~
y (t ) LX (t )
N-3
N-2
N-1
W is a tensor, it has n matrices, the ith matrix

corresponds to the ith element of the
nonlinear vector.
14
Example
W
W 1 R nn
W i R n n
1600 800 0 0
800 0 0
800
0
0
0 0
0 0 0
0 0
800 800
0
800
0
800
0
800 800
0
0
0
0
0
0 0
i 1, i, i 1
i(t)
2
C
3
C
N-3
N-2
N-1
0
0
0
0
0 i 1
i
i 1
W n R nn
0
0 0 0

0 0
0 0 0
800 800
0 0 800 800
X TW 1 X
T
T
i
X WX X W X
X TW n X
Z T V T W 1VZ
T T
T
T
i
Z V WVZ Z V W VZ
Z T V T W nVZ
15
Example
0.025
0.02
voltage at node 1
0.015
-- quadratic MOR, q=10
linear, no reduction
__ full simulation
0.01
0.005
0
0
4
6
time, u(t)=0, t<3, u(t)=1, t>=3;
10
16
Example
0.018
0.016
voltage at node 1
0.014
0.012
quadratic MOR, q=20
0.01
__ full simulation
0.008
0.006
0.004
0.002
0
0
4
6
time, u(t)=0, t<3, u(t)=1, t>=3;
10
17
Example
0.018
0.016
voltage at node 1
0.014
0.012
quadratic, no reduction
0.01
__ full simulation
0.008
0.006
0.004
0.002
0
0
4
6
time, u(t)=0, t<3, u(t)=1, t>=3;
10
18
Bilinearization MOR
Approximate f ( X ) by quadratic polynomial g ( X ), but written into Kronecker
product
dX / dt f ( X ) Bu(t )
y (t ) LX (t )
1
2
1
f ( X 0 ) D f ( X X 0 ) ( X X 0 )T H f ( X 0 )( X X 0 )
2
f ( X 0 ) A1 X A2 X X
f (X )
dX / dt A X N X u (t ) B u (t )
y (t ) L X (t )
g(X )
X R N , N n2
X VZ , Z Rq , q n
dZ / dt V T AVZ V T N VZu(t ) V T B u (t )
y (t ) LVZ (t )
19
Bilinearization MOR
y (t ) LX (t )
A
A 1
0
Carleman bilinearization
A2
A1 I I A1
y (t ) L X (t )
0
0
N
B
B
0
Kronecker product
X
X X
B
B
0
L L 0
a11B a1n B
A B

a B a B
mn
m1
Carleman bilinearization:
[1] W.J. Rugh, Nolinear System Theory, The John Hopkins University Press, Boltimore, 1981.
[2] S. Sastry, Nonlinear Systems: Analysis, Stability and Control, Springer, New York, 1999.
20
Bilinearization MOR
How to compute V?
y (t ) L X (t )
Volterra series expression of bilinear system
According to the theory in [Rugh 1981], the output response of the bilinear system
can be expressed into Volterra series,
y (t ) y n (t )
n 1
y n (t ) hn( reg ) (t 1, t 2 ,,t n )u (t t1 t 2 t n )u (t t n )dt1 dtn

0
( reg )
n
(t1 , t 2 , , t n ) L e
A t n
At n1
N e
At1
N e
Laplace transform (drop for simplicity):
hn( reg ) ( s1 , s2 , , sn ) LT ( sn I A) 1 N ( sn 1 I A) 1 N ( s2 I A) 1 N ( s1 I A) 1 B
(1) n cT ( I sn A1 ) 1 A1 N ( I sn 1 A1 ) 1 A1 N ( I s2 A1 ) 1 A1 N ( I s1 A1 ) 1 A1 B
21
Bilinearization MOR
How to compute V?
y (t ) L X (t )
Laplace transform:
hn( reg ) ( s1 , s2 , , sn ) L( sn I A) 1 N ( sn 1 I A) 1 N ( s2 I A) 1 N ( s1 I A) 1 B
(1) n LT ( I sn A1 ) 1 A1 N ( I sn 1 A1 ) 1 A1 N ( I s2 A1 ) 1 A1 N ( I s1 A1 ) 1 A1 B
( I sn A1 ) 1 I A1sn Ai sni
( reg )
n
ln 1
l1 1
( s1 , s2 , , sn ) (1) n snln 1 s1l1 1 LAln NAln1 N Al1 B
Multimoments:
m(ln ,, l1 ) (1) n LAln NAln1 N Al1 B
22
Bilinearization MOR
How to compute V?
y (t ) L X (t )
( reg )
n
ln 1
l1 1
( s1 , s2 , , sn ) (1) n snln 1 s1l1 1 LAln NAln1 N Al1 B
Multimoments:
m(ln ,, l1 ) (1) n LAln NAln1 N Al1 B

range{V1} K q1 { A1 , A1b} span{ A1 B, , A q1 B}
range{V j } K q j { A1 , A1 NV j 1} { A1 NV j 1, A1 NV j 1 ,, A
range{V } colspan{V1 ,,VJ }
q j
NV j 1}
Reduced model:
dZ / dt V T AVZ V T N VZu(t ) V T B u (t )
y (t ) LVZ (t )
23
Example
0.018
V for bilinearization MOR:

0.016
0.014
voltage at node 1
range{V } colspan{V1 ,V2 }
original system
quadratic MOR, q=20
quadratic, no reduction
bilinearization, q=20
0.012
range{V1} span{( A ) 1 B, , ( A ) 19 B}
range{V2 } span{( A ) 1 NV1 (:,1)}
0.01
0.008
V for quadratic MOR:
0.006
range{V } span{ A1 B, , A20 B}
0.004
0.002
0
0
4
6
time, u(t)=0, t<3, u(t)=1, t>=3;
10
24
Variational analysis MOR

Original system:
1
f ( X ) f ( X 0 ) D f ( X X 0 ) ( X X 0 )T H f ( X 0 )( X X )
2
f ( X 0 ) A1 X A2 X X A3 X X X
y (t ) LX (t )
~
dX / dt A1 X A2 X X B u~ (t )
y (t ) LX (t )
or
~
dX / dt A1 X A2 X X A3 X X X B u~ (t )
y (t ) LX (t )
Variational analysis:
~
dX / dt A1 X A2 X X B u~ (t )
y (t ) LX (t )
or
~
y (t ) LX (t )
X ( , t ) X 1 (t ) a 2 X 2 (t ) 3 X 3 (t )
25

~
y (t ) LX (t )
X (t ) X 1 (t ) a 2 X 2 (t ) 3 X 3 (t )
d (X 1 2 X 2 3 X 3 ) / dt A1 (X 1 2 X 2 3 X 3 )
A2 [(X 1 2 X 2 3 X 3 ) (X 1 2 X 2 3 X 3 )]
~
A3 [(X 1 2 X 2 3 X 3 ) (X 1 2 X 2 3 X 3 ) (X 1 2 X 2 3 X 3 )] B u~ (t )
y (t ) LX (t )
~
dX 1 (t ) / dt A1 X 1 (t ) B u~ (t )
2 :
dX 2 (t ) / dt A1 X 2 (t ) A2 ( X1 X1 )
3 :
dX 3 (t ) / dt A1 X 3 (t ) A2 ( X 1 X 2 X 2 X 1) A3 ( X 1 X 1 X 1 )
26

~
y (t ) LX (t )
X (t ) X 1 (t ) a 2 X 2 (t ) 3 X 3 (t )
~
dX 1 (t ) / dt A1 X 1 (t ) B u~ (t )
2 :
dX 2 (t ) / dt A1 X 2 (t ) A2 ( X1 X1 )
3 :
dX 3 (t ) / dt A1 X 3 (t ) A2 ( X 1 X 2 X 2 X 1) A3 ( X 1 X 1 X 1 )
X 1 V1Z1
~
~
V1 span{ A B ,, A1 q1 B}
X 2 V2 Z 2
V2 span{A11 A2 ,, A1q2 A2}
X 3 V3 Z 3
V3 span{ A11[ A2 , A3 ], , A1 q2 [ A2 , A3 ]}
1
1
X (t ) X 1 (t ) a 2 X 2 (t ) 3 X 3 (t )
X 1 2 X 2 3 X 3
V1Z1 2V2 Z 2 3V3 Z 3
X (t ) span{V1 ,V2 ,V3}
27

Original system:
y (t ) LX (t )
~
y (t ) LX (t )
~ u~(t )
dX / dt A1 X A2 X X A3 X X X B

y (t ) LX (t )
X (t ) span{V1 ,V2 ,V3}
Compute V:
range(V ) span{V1 ,V2 ,V3}
X (t ) VZ
~~
Reduced model: dZ / dt V T A1VZ V T A2VZ VZ V T A3VZ VZ VZ V T B
u (t )
y (t ) LVZ (t )
28
voltage at node 1
Example
0.018
V for bilinearization MOR:
0.016
range{V } colspan{V1 ,V2 }
0.014
range{V1} span{A1B,, A19 B}
0.012
range{V2 } span{A1 NV (:,1)}
0.01
0.008
V for Variational analysis MOR:
0.006
range{V1} span{ A11 B, , A4 B}
0.004
V20 orth{ A2 }
0.002
0
0
range{V2 } span{ A11V20 (:,1 : 6)}
original exact output response

Bilinearization MOR, q=20, relative error=0.0078
Variational analysis MOR, q=9, relative error=0.0073
2
4
6
time, u(t)=0, t<3; u(t)=1, t>=3
range{V } span{V1 , V2 }
10
29
Example
V for [Phillips 2000] method:
0.018
0.016
V20 A1 A2 (V1 V1 )
voltage at node 1
0.014
range{V2 } span{V20 (:,1 : 6)}

range{V } span{V1 , V2 }
0.012
0.01
0.008
V for our method:
0.006

V20 orth{ A2 }
0.004
0.002
0
0
range{V2 } span{ A11[V20 (:,1 : 6)]}
original
our method, q=9, relative error=0.0073
Phillips 2003 method, q=9, relative error=0.0076
2
4
6
8
time, u(t)=0, t<0.3; u(t)=1, t>=0.3
range{V } span{V1 ,V2 }

10
30
Trajectory piece-wise linear MOR

Original system:
s 1
~ g ( X ) Bu ,
dX / dt w
i i
y (t ) LX (t )
i 0
y (t ) LX (t )
f (X )
g3 ( X )
g1 ( X )
g i ( X ) f ( X i ) Ai ( X X i ), i 0,1, , s 1
X2
Ai (a jk ),
X1
X0
g4 ( X )
a jk
f j ( X )
xk
Xi
g2 ( X )
31

Original system:
s 1
dX / dt gi ( X ) Bu,
y (t ) LX (t )
y(t ) LX (t )
i 0
~ (X ) f (X ) w
~ ( X ) A ( X X ), i 0,1,, s 1
gi ( X ) w
i
i
i
i
i
~ AX w
~ ( f (X ) A X )
w
i i
i
i
i i
s 1
~ ~ T
~ AX B
dX / dt w
[u, wi ] ,
i i
How to compute V?
~
~
range{Vi } span{ A Bi , , Ai qi Bi }
1
i
range{V } span{V1 , , Vs 1}
i 0,1, , s 1
i 0
y(t ) LX (t )
~
B [ B, B0 ], B0 f ( X i ) AX i
32

Original system:
y (t ) LX (t )
Trajectory piece-wise linear system:

s 1
~ ~ T
~ AX B
dX / dt w
[u, wi ] ,
i i
i 0
y(t ) LX (t )
Reduced model:
s 1
~ ~ T
~ V T A VZ V T B
dZ / dt w
[u, wi ] ,
i
i
i 0
y (t ) LVZ (t )
33
Other nonlinear MOR methods

Proper orthogonal decomposition (POD).
mainly applied in e.g. chemical, bio engineering etc..
POD is sometimes called Karhunen-Loeve decomposition or principal
component analysis.
Reduced basis method.

mainly applied in e.g. mechanical engineering etc..
34
Conclusions
Krylov subspace based nonlinear MOR methods include linearization
methods, quadratic methods, bilinearization methods,
variational analysis methods, trajectory piece-wise linear (polynomial)
methods, etc..
Quadratic, bilinearization, variational analysis are suitable for weakly
nonlinear systems.
Tranjectory picec-wise linear (polynomial) performs better for strong
nonlinear systems.
Other methods like POD, reduced basis could be applied to MEMS
simulation.
35
References
Quadratic MOR:
[1] Yong Chen, Model order reduction for nonlinear systems, MIT master thesis, 1999.
Bilinearization MOR:
[2] J. R. Phillips, Projection Frameworks for Model Reduction of Weakly Nonlinear
Systems, Proc. IEEE/ACM DAC, pp. 184-189, 2000.
[3] Z. Bai, and D. Skoogh, A projection method for model reduction of bilinear
dynamical systems, Linear Algebra Appl., 415, pp. 406425, 2006.
[4] L. Feng and P. Benner, A Note on Projection Techniques for Model Order Reduction of
Bilinear Systems, AIP Conf. Proc. 936, pp. 208-211, 2007.
36
References
Variational analysis MOR:

[5] J. R. Phillips, Automated Extraction of Nonlinear Circuit Macromodels , Proc. of IEEE
Custom Itegrated Circuits Conference, pp. 451-454, 2000.
[6] L. Feng, X. Zeng, Ch. Chiang, D. Zhou, Q, Fang Direct nonlinear order reduction with
variational analysis, Proc. of Design, Automation and Test in Europe Conference and
Exhibition, vol. 2, pp. 1316-1321, 2004.
Trajectory piece-wise linear (polynomial) MOR:

[7] M. Rewienski and J. White, A Trajectory Piecewise-Linear Approach to Model Order
Reduction and Fast Simulation of Nonlinear Circuits and Micromachined Devices, IEEE
Trans. Comput.-Aided Des. Integr. Circuits Syst., vol. 22, no. 2, pp. 155-170, 2003.
[8] M. Rewienski and J. White, Model order reduction for nonlinear dynamical systems based
on trajectory piecewise-linear approximations , Linear Algebra Appl., vol. 415, no. 2-3, pp.
426-454, 2006.
Model Order Reduction of Parametric Systems
03.02.2012
37

Nonlinear Systems

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January 11, 2012

Model Order Reduction for Nonlinear Systems

Max Planck Institute Magdeburg

Very small differences

Max Planck Institute Magdeburg

range(V ) span{r , ( s0C G ) 1 Cr , , [( s0C G 1 )C ] j r}

Max Planck Institute Magdeburg

Review and motivation

Original large system

Reduced small system

Review and motivation

Accuracy of the reduced model:

H ( s ) Y ( s ) / U ( s ) L( sC G ) B L[( s0C G ) 1 C ]i ( s0C G ) 1 B( s s0 ) i

range(V ) span{b, ( s0C G ) 1 Cb, , [( s0C G 1 )C ] j b}

The first j +1 moments are the same

Max Planck Institute Magdeburg

Max Planck Institute Magdeburg

Taylor series expansion:

Model Order Reduction of Parametric Systems

Y. Chen, MIT thesis 1999.

Max Planck Institute Magdeburg

g ( x) g (0) g ' (0) x

Max Planck Institute Magdeburg

Max Planck Institute Magdeburg

Max Planck Institute Magdeburg

Taylor series expansion:

Y. Chen, MIT thesis 1999.

800 x12 800 ( x1 x2 ) 2

Max Planck Institute Magdeburg

Max Planck Institute Magdeburg

Y. Chen, MIT thesis 1999.

W is a tensor, it has n matrices, the ith matrix

Max Planck Institute Magdeburg

Y. Chen, MIT thesis 1999.

-- quadratic MOR, q=10

Max Planck Institute Magdeburg

-- quadratic MOR, q=10

quadratic MOR, q=20

Max Planck Institute Magdeburg

-- quadratic MOR, q=10

Max Planck Institute Magdeburg

Max Planck Institute Magdeburg

Max Planck Institute Magdeburg

y n (t ) hn( reg ) (t 1, t 2 ,,t n )u (t t1 t 2 t n )u (t t n )dt1 dtn

Laplace transform (drop for simplicity):

( s1 , s2 , , sn ) (1) n snln 1 s1l1 1 LAln NAln1 N Al1 B

m(ln ,, l1 ) (1) n LAln NAln1 N Al1 B

Max Planck Institute Magdeburg

( s1 , s2 , , sn ) (1) n snln 1 s1l1 1 LAln NAln1 N Al1 B

m(ln ,, l1 ) (1) n LAln NAln1 N Al1 B

range{V } colspan{V1 ,,VJ }

Max Planck Institute Magdeburg

V for bilinearization MOR:

range{V } colspan{V1 ,V2 }

V for quadratic MOR:

range{V } span{ A1 B, , A20 B}

Max Planck Institute Magdeburg

Variational analysis MOR

Max Planck Institute Magdeburg

Variational analysis MOR

Max Planck Institute Magdeburg

Variational analysis MOR

V2 span{A11 A2 ,, A1q2 A2}