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DOE OSTI2020

Computationally Efficient Decompositions of Oblique Projection Matrices

Oblique projection matrices arise in problems in weighted least squares, signal processing, and optimization. While these matrices can be potentially very large, their low-rank structure can be exploited for efficient computation. Here, we propose fast and scalable algorithms for computing their eigendecomposition and singular value decomposition (SVD). Numerical experiments that compare our proposed approaches to existing methods, including randomized SVD, are presented. In addition, we test their accuracy on linear systems from equality constrained optimization problems.

97 MATHEMATICS AND COMPUTING↗

NASA NTRS1987

Model reductions using a projection formulation

A new methodology for model reduction of MIMO systems exploits the notion of an oblique projection. A reduced model is uniquely defined by a projector whose range space and orthogonal to the null space are chosen among the ranges of generalized controllability and observability matrices. The reduced order models match various combinations (chosen by the designer) of four types of parameters of the full order system associated with (1) low frequency response, (2) high frequency response, (3) low frequency power spectral density, and (4) high frequency power spectral density. Thus, the proposed method is a computationally simple substitute for many existing methods, has an extreme flexibility to embrace combinations of existing methods and offers some new features.

De Villemagne, Christian↗