Model Reduction Notes - Siep Weiland TuEindhoven - Part 1

Model Reduction 2013
Class 8
Department of Electrical Engineering
Eindhoven University of Technology
Siep Weiland
Class 8 (TUE) Model Reduction 2013 Siep Weiland 1 / 39
Outline
1 Function approximation
spectral decompositions
proper orthogonal decompositions
2 Projection framework
linear systems
non-linear systems
innite dimensional systems
3 Reduction of spatial-temporal systems
a wave propagation example
how to choose basis functions?
how to derive coecients?
results on wave propagation (Fourier)
results on wave propagation (POD)
4 Summary
Function approximation
Function approximation spectral decompositions
spectral decompositions
Image RGB decomposition
Decompositions of light and sound
Given function w J, nd function w
r
J
r
so as to minimize
|w w
r
|.
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.5
0.4
0.3
0.2
0.1
0
0.1
0.2
0.3
0.4
0.5
r
J
r
so as to minimize
|w w
r
|.
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.5
0.4
0.3
0.2
0.1
0
0.1
0.2
0.3
0.4
0.5
original
polynomial degree 5
J
r
polynomials of degree r
w
r
(x) = a
0
+ a
1
x +. . . + a
r
x
r
, r = 5
r
J
r
so as to minimize
|w w
r
|.
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.5
0.4
0.3
0.2
0.1
0
0.1
0.2
0.3
0.4
0.5
original
polynomial degree 10
J
r
w
r
(x) = a
0
+ a
1
x +. . . + a
r
x
r
, r = 10
r
J
r
so as to minimize
|w w
r
|.
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.5
0.4
0.3
0.2
0.1
0
0.1
0.2
0.3
0.4
0.5
original
polynomial degree 15
J
r
w
r
(x) = a
0
+ a
1
x +. . . + a
r
x
r
, r = 15
r
J
r
so as to minimize
|w w
r
|.
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.5
0.4
0.3
0.2
0.1
0
0.1
0.2
0.3
0.4
0.5
original
Fourier degree 5
J
r
trigonometric functions of frequency r 2/[X[
w
r
(x) = a
0
+ a
1
cos(x) +. . . + a
r
cos(r x), r = 5
r
J
r
so as to minimize
|w w
r
|.
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.5
0.4
0.3
0.2
0.1
0
0.1
0.2
0.3
0.4
0.5
original
Fourier degree 10
J
r
w
r
(x) = a
0
+ a
1
cos(x) +. . . + a
r
cos(r x), r = 10
r
J
r
so as to minimize
|w w
r
|.
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.5
0.4
0.3
0.2
0.1
0
0.1
0.2
0.3
0.4
0.5
original
Fourier degree 15
J
r
w
r
(x) = a
0
+ a
1
cos(x) +. . . + a
r
cos(r x), r = 15
Solution by projection
Projection framework
Equip function space J with inner product ,
with
Norm |w|
2
= w, w induced by inner product
Orthogonal projection : J J
r
onto J
r
Projection theorem
w
r
in J
r
minimizes |w w
r
| if and only if
with
Norm |w|
2
r
onto J
r
Projection theorem
w
r
in J
r
minimizes |w w
r
| if and only if
w
r
= w
with
Norm |w|
2
r
onto J
r
Projection theorem
w
r
in J
r
minimizes |w w
r
| if and only if
w w
r
J
r
with
Norm |w|
2
r
onto J
r
Projection theorem
w
r
in J
r
minimizes |w w
r
| if and only if
w w
r
, v = 0 for all v J
r
with
Norm |w|
2
r
onto J
r
Projection theorem
w
r
in J
r
minimizes |w w
r
| if and only if
w
r
= U(U
U)
1
U
w with im(U) = J
r
Solution by spectral decompositions
Write w J as
w(x) =
k
a
k
k
(x)

k
basis functions in J that are orthonormal in the sense that
k
,
=
_
1 if k =
0 otherwise
a
k
= w,
k
are (Fourier) coecients
If J
r
= span(
1
, . . . ,
r
) then
w
r
(x) =
r
k=1
a
k
k
(x)
minimizes |w w
r
| over all w
r
J
r
.
Spectral decompositions - example
Joseph Fourier (1768-1830)
J = L
2
([0, 1]) with inner
product
f , g =
_
1
0
f (x)g
H
(x) dx
Fourier basis
k
(x) = e
ikx
Optimal approximation of w
w
r
(x) =
r
k=0
w,
k

k
(x)
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0.2
0
0.2
0.4
0.6
0.8
1
1.2
original
Fourier degree 4
r = 4
J = L
2
([0, 1]) with inner
product
f , g =
_
1
0
f (x)g
H
(x) dx
Fourier basis
k
(x) = e
ikx
w
r
(x) =
r
k=0
w,
k

k
(x)
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0.2
0
0.2
0.4
0.6
0.8
1
1.2
original
Fourier degree 8
r = 8
J = L
2
([0, 1]) with inner
product
f , g =
_
1
0
f (x)g
H
(x) dx
Fourier basis
k
(x) = e
ikx
w
r
(x) =
r
k=0
w,
k

k
(x)
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0.2
0
0.2
0.4
0.6
0.8
1
1.2
original
Fourier degree 20
r = 20
J = L
2
([0, 1]) with inner
product
f , g =
_
1
0
f (x)g
H
(x) dx
Fourier basis
k
(x) = e
ikx
w
r
(x) =
r
k=0
w,
k

k
(x)
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0.2
0
0.2
0.4
0.6
0.8
1
1.2
original
Fourier degree 100
r = 100
J = L
2
([0, 1]) with inner
product
f , g =
_
1
0
f (x)g
H
(x) dx
Fourier basis
k
(x) = e
ikx
w
r
(x) =
r
k=0
w,
k

k
(x)
Josiah Wilard Gibbs (1839-1903)
J = L
2
([0, 1]) with inner
product
f , g =
_
1
0
f (x)g
H
(x) dx
Fourier basis
k
(x) = e
ikx
w
r
(x) =
r
k=0
w,
k

k
(x)
Gives strong convergence
lim
r
_
1
0
[w(x) w
r
(x)[
2
dx = 0
but possibly
lim
r
[w(x) w
r
(x)[ , = 0
for some x.
(no pointwise convergence).
J = L
2
([0, 1]) with inner
product
f , g =
_
1
0
f (x)g
H
(x) dx
Fourier basis
k
(x) = e
ikx
w
r
(x) =
r
k=0
w,
k

k
(x)
The POD basis problem
Given a collection of M functions w
1
, w
2
, . . . , w
M
in J
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.5
0.4
0.3
0.2
0.1
0
0.1
0.2
0.3
0.4
0.5
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
4
3
2
1
0
1
2
3
4
5
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
0.8
0.6
0.4
0.2
0
0.2
0.4
0.6
0.8
Find r dimensional subspace J
r
= span(
1
, . . . ,
r
) such that the average
error
1
M
M
j =1
|w
j
w
j
|
2
is minimal.
Function approximation proper orthogonal decompositions
Given data w
1
, . . . , w
M
J, nd orthonormal basis
k
, k = 1, 2, . . . of
J such that the error
J(
1
, . . . ,
r
) =
M
j =1
|w
j

r
k=1
w
j
,
k

k
|
2
is minimal for all truncation levels r .
Basis will be data dependent
Needs inner product f , g on J.
Orthonormal means
k
,
=
_
1 if k =
0 otherwise
Solution of POD basis problem
Theorem
Suppose that J = R
N
. An orthonormal basis
k
, k = 1, . . . , N of J is
a POD basis if and only if
WW
k
=
k
k
where
1

n
, n = rank(W) and
W =
_
w
1
w
M
_
R
NM
.
Moreover, in that case
J(
1
, . . . ,
r
) =
k>r
k
POD basis can be obtained from eigenvalue decomposition!
Proof
For any orthonormal basis we have
J(
1
, . . . ,
r
) =
M
j =1
|
k>r
w
j
,
k

k
|
2
=
=
k>r
M
j =1
w
j
,
k
2
=
k>r
k
WW
k
(if): If WW
k
=
k
k
then J =
k>r

k
is minimal for all r since
1

n
.
(only if): If
k
N
k=1
is a POD basis and
n
=1
eigenvectors of WW
, then
J =
k>r
k
WW
k
=
k>r
n
=1
k
,
is minimal for all r only if

k
,
=
k,
. But then
k
is ev of WW
.
Computation of POD basis by SVD
Need to solve WW
k
=
k
k
Suppose n = rank(W). Compute singular value decomposition
W = UV
where
U =
_
u
1
u
N
_
R
NN
, unitary
V =
_
v
1
v
M
_
R
MM
unitary
=
_
0
0 0
_
; = diag(
1
, . . . ,
n
)
Then WW
u
k
=
2
k
u
k
and
k
=
2
k
.
k
= u
k
is POD basis
Computation of POD basis by EVD
data matrix W wide (N M)
Compute eigenvalue decomposition
WW
u
k
=
k
u
k
, |u
k
| = 1, k = 1 . . . , n
data matrix W tall (N M)
Compute eigenvalue decomposition
W
Wv
k
=
k
v
k
, |v
k
| = 1, k = 1 . . . , n
Set u
k
=
1
2
k
Wv
k
k
= u
k
is POD basis
Projection framework linear systems
Complex model
Model
_
w = Aw + Bu
y = Cw + Du
Variable projection
w Uw
r
Vector eld projection
imV [ w Aw Bu]
Reduced order model
Combined:
w Uw
r
V
w = V
Aw + V
Bu
Reduced order model
_
V
U w
r
= A
r
w
r
+ B
r
u
y = C
r
w
r
+ D
r
u
where
A
r
= V
AU, B
r
= V
B,
C
r
= CU.
Complex model
Model
_
w = Aw + Bu
y = Cw + Du
Variable projection
w Uw
r
imV [ w Aw Bu]
Reduced order model
Combined:
w Uw
r
V
w = V
Aw + V
Bu
Reduced order model
_
V
U w
r
= A
r
w
r
+ B
r
u
y = C
r
w
r
+ D
r
u
where
A
r
= V
AU, B
r
= V
B,
C
r
= CU.
Projection matrices U and V
A
r
=
V
A U
U and V projection matrices that project on imU and imV
U
U = I
r
, V
V = I
r
Reduction methods dier in selection of U and V.
Projection matrices U and V
A
r
=
V
A U
U and V projection matrices that project on imU and imV
U
U = I
r
, V
V = I
r
Reduction methods dier in selection of U and V.
How to select U and V ?
Use gramians
balancing type of algorithms
Use eigenvectors of A
modal truncations/time scale separations
Use U = V
Galerkin projections
Use time series data
measurement w(t), t = 1, . . . , M
use SVD to pick relevant directions
Use frequency domain data
measurement W(),
1
, . . .
M
use SVD to pick relevant directions
Use Krylov spaces
not discussed in this course. . .
Projection framework non-linear systems
Projection framework for non-linear systems
Complex nonlinear model
Model
_
w(t) = f (w(t), u(t))
y(t) = g(w(t), u(t))
Variable projection
w Uw
r
imV [ w f (w, u)]
Reduced order model
Combined:
w Uw
r
V
w = V
f (w, u)
Reduced order model
_
V
U w
r
= f
r
(w
r
, u)
y = g
r
(w
r
, u)
where
f
r
(w
r
, u) = V
f (Uw
r
, u),
g
r
(w
r
, u) = g(Uw
r
, u).
Projection framework non-linear systems
Projection framework for non-linear systems
Complex nonlinear model
Model
_
w(t) = f (w(t), u(t))
y(t) = g(w(t), u(t))
Variable projection
w Uw
r
imV [ w f (w, u)]
Reduced order model
Combined:
w Uw
r
V
w = V
f (w, u)
Reduced order model
_
V
U w
r
= f
r
(w
r
, u)
y = g
r
(w
r
, u)
where
f
r
(w
r
, u) = V
f (Uw
r
, u),
g
r
(w
r
, u) = g(Uw
r
, u).
Projection framework innite dimensional systems
Projection framework for distributed systems
PDE or distributed system
Model
_
w
t
= F(
w
x
, . . . , )
y(x, t) = g(w(x, t), u(x, t))
Variable projection
w(x, t) Uw
r
(x, t)
more dicult to dene !!
imV
_
w
t
F(
w
x
, . . . , )
_
Reduced order model
Combined:
w(x, t) Uw
r
(x, t)
V
w
t
= V
F(
w
x
, . . . , )
Reduced order model
_
v,
w
r
t
_
=
v, F(
w
r
x
, . . . , )
_
w
r
= u, w
y(x, t) = g(w
r
, u)
where v imV, u imU and
, is some inner product (see
below)
Projection framework innite dimensional systems
Projection framework for distributed systems
PDE or distributed system
Model
_
w
t
= F(
w
x
, . . . , )
y(x, t) = g(w(x, t), u(x, t))
Variable projection
w(x, t) Uw
r
(x, t)
more dicult to dene !!
imV
_
w
t
F(
w
x
, . . . , )
_
Reduced order model
Combined:
w(x, t) Uw
r
(x, t)
V
w
t
= V
F(
w
x
, . . . , )
Reduced order model
_
v,
w
r
t
_
=
v, F(
w
r
x
, . . . , )
_
w
r
= u, w
y(x, t) = g(w
r
, u)
where v imV, u imU and
, is some inner product (see
below)
Reduction of spatial-temporal systems a wave propagation example
Reduction of spatial-temporal systems
Example: wave propagation equation
Consider solutions w(x, t) of partial dierential equation
2
w
t
2

2
2
w
x
2
= 0
where
space: x X = [0, 1];
time: t T = [0, 1]
initial and boundary conditions
w(x, 0) = w
0
(x), w(0, t) = 0, w(1, t) = 0,
w
t
(x, 0) = w
1
(x)
We wish to make a spectral decomposition of solution:
w(x, t) =
k=1
a
k
(t)
k
(x)
Reduction of spatial-temporal systems
Example: wave propagation equation
Consider solutions w(x, t) of partial dierential equation
2
w
t
2

2
2
w
x
2
= 0
where
space: x X = [0, 1];
time: t T = [0, 1]
initial and boundary conditions
w(x, 0) = w
0
(x), w(0, t) = 0, w(1, t) = 0,
w
t
(x, 0) = w
1
(x)
We wish to make a spectral decomposition of solution:
w(x, t) =
k=1
a
k
(t)
k
(x)
Wave propagation in a string
(click to animate)
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0.25
0.2
0.15
0.1
0.05
0
0.05
0.1
0.15
0.2
0.25
Solution wave equation for = 3.
Three questions
What basis functions
k
(x) should we take ??
How do we obtain the coecients a
k
(t) ??
How do we project to get a simple reduced order model ??
Reduction of spatial-temporal systems how to choose basis functions?
k
should we take ??
To talk about
normalized basis functions: we need structure of a normed vector
space
orthogonal basis functions: we need structure of an inner product.
For every t, the solution w(, t) therefore needs to belong to an inner
product space
1
:
_
J, ,
_
that describes the relevant waves.
First need a relevant inner product but whats relevant here?
1
Better even: a separable Hilbert space.
k
should we take ??
To talk about
normalized basis functions: we need structure of a normed vector
space
orthogonal basis functions: we need structure of an inner product.
For every t, the solution w(, t) therefore needs to belong to an inner
product space
1
:
_
J, ,
_
that describes the relevant waves.
First need a relevant inner product but whats relevant here?
1
Better even: a separable Hilbert space.
Choice of inner product
Possible inner product choices (1)
Square integrable functions
J = L
2
([0, 1], R) = f : [0, 1] R [ |f |
2
2
:=
_
1
0
f
2
(x)dx <
with inner product
f , g :=
_
1
0
f (x)g(x)dx
Basis This set has an orthonormal basis of Fourier modes:
1,
2 cos(kx),
2 sin(kx)
which implies for every f J the classical Fourier decomposition:
f (x) =
k=1
a
k
2 cos(kx) +
=1
b
2 sin(x) + c
m
J = L
2
([0, 1], R) = f : [0, 1] R [ |f |
2
2
:=
_
1
0
f
2
(x)dx <
with inner product
f , g :=
_
1
0
f (x)g(x)dx
Basis This set has an orthonormal basis of Fourier modes:
1,
2 cos(kx),
2 sin(kx)
which implies for every f J the classical Fourier decomposition:
f (x) =
k=1
a
k
2 cos(kx) +
=1
b
2 sin(x) + c
m
J = f L
2
([0, 1], R) [ f (0) = 0 = f (1)
with same inner product.
(This takes the initial conditions of the wave equation into account!)
J = f L
2
([0, 1], R) [ f (0) = 0 = f (1)
Basis: Has orthonormal basis of Fourier modes:
k
(x) =
2 sin(kx); x [0, 1]; k = 1, 2,

and implies the classical Fourier decomposition:
f (x) =
k=1
a
k
2 sin(kx)
with a
k
= f ,
k
=
_
1
0
2 sin(kx)f (x)dx.
J = f L
2
([0, 1], R) [ f (0) = 0 = f (1)
Basis: Has orthonormal basis of Legendre polynomials:
k
(x) =
8
k
2 k!
d
k
dx
k
(x
2
x)
k
, k = 1, 2,
and implies a Legendre decomposition (not used in this course):
f (x) =
k=1
a
k
k
(x)
with a
k
= f ,
k
=
_
1
0
f (x)
k
(x)dx.
Discretization rst
Discretize X = [0, 1] in N disjoint intervals and assume that w(x, t) is
only interesting at samples x
k
= k
x
,
x
= 1/N. Then
J = R
N
with its usual (standard) inner product
f , g = f
g.
POD basis
Consider M time samples w(x, t
1
), . . . , w(x, t
M
) of measured data
and store them in an N M snapshot matrix
W
snap
=
_
_
_
w(x
1
, t
1
) w(x
1
, t
M
)
.
.
.
.
.
.
w(x
N
, t
1
) w(x
N
, t
M
)
_
_
_
Discretization rst
Discretize X = [0, 1] in N disjoint intervals and assume that w(x, t) is
only interesting at samples x
k
= k
x
,
x
= 1/N. Then
J = R
N
with its usual (standard) inner product
f , g = f
g.
POD basis
Consider M time samples w(x, t
1
), . . . , w(x, t
M
) of measured data
and store them in an N M snapshot matrix
W
snap
=
_
_
_
w(x
1
, t
1
) w(x
1
, t
M
)
.
.
.
.
.
.
w(x
N
, t
1
) w(x
N
, t
M
)
_
_
_
A data dependent basis
Now let W
snap
= UV
be an SVD of W
snap
with
U =
_
1

N
_
;
k
R
N
.
Then vectors
k
, k = 1, . . . , N dene an orthonormal basis of R
N
.
This is a POD basis!
Thus the time-averaged error
M
=1
|w(x, t
) w
r
(x, t
)|
2
=
M
=1
N
k=r +1
a
2
k
(t
)
is minimal for all truncation levels r
Now let W
snap
= UV
be an SVD of W
snap
with
U =
_
1

N
_
;
k
R
N
.
Then vectors
k
N
.
M
=1
|w(x, t
) w
r
(x, t
)|
2
=
M
=1
N
k=r +1
a
2
k
(t
)
Now let W
snap
= UV
be an SVD of W
snap
with
U =
_
1

N
_
;
k
R
N
.
Then vectors
k
N
.
M
=1
|w(x, t
) w
r
(x, t
)|
2
=
M
=1
N
k=r +1
a
2
k
(t
)
Reduction of spatial-temporal systems how to derive coecients?
k
(t) ??
Next question: Get coecients a
k
(t)
Once an orthonormal basis
k
(x), k = 1, 2, . . . has been decided upon,
the coecients a
k
(t) in
w(x, t) =
k=1
a
k
(t)
k
(x)
satisfy
a
k
(t) = w(x, t),
k
(x) =
_
1
0
w(x, t)
k
(x)dx
Nice, but useless as we do not know w(x, t). . .
k
(t) ??
Alternative: Substitute expansion in PDE

2
w
t
2
=
2
2
w
x
2
. This yields:
k=1
a
k
(t)
k
(x) =
2
k=1
a
k
(t)
k
(x)
Then project both sides on
n
, n = 1, 2, . . ., to infer that
_

k=1
a
k
(t)
k
(x),
n
(x)
_
=
_
k=1
a
k
(t)
k
(x),
n
(x)
_
Using the orthonormality of the inner product, this yields:
a
n
(t) =
2
k=1
a
k
(t)
k
(x),
n
(x), n = 1, 2, . . .
k
(t) ??
Alternative: Substitute expansion in PDE

2
w
t
2
=
2
2
w
x
2
. This yields:
k=1
a
k
(t)
k
(x) =
2
k=1
a
k
(t)
k
(x)
Then project both sides on
n
, n = 1, 2, . . ., to infer that
_

k=1
a
k
(t)
k
(x),
n
(x)
_
=
_
k=1
a
k
(t)
k
(x),
n
(x)
_
Using the orthonormality of the inner product, this yields:
a
n
(t) =
2
k=1
a
k
(t)
k
(x),
n
(x), n = 1, 2, . . .
k
(t) ??
Now have a close look at:
a
n
(t) =
2
k=1
a
k
(t)
k
(x),
n
(x), n = 1, 2, . . .
This is an ordinary dierential equation in the time-varying
coecients a
n
So we went from a PDE to an ODE!
To solve it, we need to compute
k
and
k
(x),
n
(x) for all k and
all n.
not something to look forward to. . .
We will be interested in a nite number of a
n
s only.
To compute these, the innite sum is replaced by a nite one too.
k
(t) ??
a
n
(t) =
2
k=1
a
k
(t)
k
(x),
n
(x), n = 1, 2, . . .
coecients a
n
k
and
k
(x),
n
(x) for all k and
all n.
n
s only.
k
(t) ??
a
n
(t) =
2
k=1
a
k
(t)
k
(x),
n
(x), n = 1, 2, . . .
coecients a
n
k
and
k
(x),
n
(x) for all k and
all n.
n
s only.
k
(t) ??
a
n
(t) =
2
k=1
a
k
(t)
k
(x),
n
(x), n = 1, 2, . . .
coecients a
n
k
and
k
(x),
n
(x) for all k and
all n.
n
s only.
k
(t) ??
a
n
(t) =
2
k=1
a
k
(t)
k
(x),
n
(x), n = 1, 2, . . .
coecients a
n
k
and
k
(x),
n
(x) for all k and
all n.
n
s only.
k
(t) ??
a
n
(t) =
2
k=1
a
k
(t)
k
(x),
n
(x), n = 1, 2, . . .
coecients a
n
k
and
k
(x),
n
(x) for all k and
all n.
n
s only.
Reduction of spatial-temporal systems results on wave propagation (Fourier)
Results on wave propagation (Fourier)
Lets try the Fourier basis!
Fourier basis from Possible choice 2:
k
(x) =
2 sin(kx).
Then,
k
(x) = (k
2
2
)
k
(x).
Then, using orthonormality, the inner products simplify to

k
(x),
n
(x) =
_
0 if k ,=
n
2
2
if k =
Then, the coecients satisfy a set of decoupled ODEs:
a
n
(t) =
2
n
2
2
a
n
(t); n = 1, 2, 3,
And we can explicitly solve these!
k
(x) =
2 sin(kx).
Then,
k
(x) = (k
2
2
)
k
(x).

k
(x),
n
(x) =
_
0 if k ,=
n
2
2
if k =
a
n
(t) =
2
n
2
2
a
n
(t); n = 1, 2, 3,
k
(x) =
2 sin(kx).
Then,
k
(x) = (k
2
2
)
k
(x).

k
(x),
n
(x) =
_
0 if k ,=
n
2
2
if k =
a
n
(t) =
2
n
2
2
a
n
(t); n = 1, 2, 3,
k
(x) =
2 sin(kx).
Then,
k
(x) = (k
2
2
)
k
(x).

k
(x),
n
(x) =
_
0 if k ,=
n
2
2
if k =
a
n
(t) =
2
n
2
2
a
n
(t); n = 1, 2, 3,
k
(x) =
2 sin(kx).
Then,
k
(x) = (k
2
2
)
k
(x).

k
(x),
n
(x) =
_
0 if k ,=
n
2
2
if k =
a
n
(t) =
2
n
2
2
a
n
(t); n = 1, 2, 3,
Indeed:
a
n
(t) =
2
n
2
2
a
n
(t); n = 1, 2, 3,
is a second order ordinary di. eqn. which has as its solution
a
n
(t) = A
n
cos(
n
t) + B
n
sin(
n
t);
n
= n
where constants A
n
, B
n
follow from initial conditions:
A
n
= a
n
(0) =
_
1
0
w
0
(x)
n
(x) dx =
2
_
1
0
w
0
(x) sin(nx) dx
B
n
=
1
n
a
n
(0) =
n
_
1
0
w
1
(x) sin(nx) dx
This gives the complete solution
For equation lovers, the explicit expression for the solution is:
w(x, t) =
k=1
a
k
(t)
k
(x) =
k=1
_
2
_
1
0
w
0
(x) sin(kx) dx cos(
k
t)+
+
k
_
1
0
w
1
(x) sin(kx) dx
_
2 sin(kx)
which satises the boundary conditions
w(0, t) = w(1, t) = 0; t 0
(by construction of the basis) and
w(x, 0) = w
0
(x);
w
t
(x, 0) = w
1
(x).
How do we get a simple reduced order model ??
The truncated expansion
w
r
(x, t) =
r
k=1
a
k
(t)
k
(x)
is the approximate solution of order r , and requires construction of a
k
(t)
for 1 k r only.
(click to animate) Simulation with
k
(x) =
2 sin(kx):
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0.25
0.2
0.15
0.1
0.05
0
0.05
0.1
0.15
0.2
0.25 original degree=100
approximation degree=5
Solutions wave equation
position
Solution wave propagation with = 3, blue: exact solution, red: r = 5th
order Fourier approximation
Reduction of spatial-temporal systems results on wave propagation (POD)
Results on wave propagation (POD)
Lets try the POD basis!
POD basis from possible choice 3:
k
(x) on discretized grid.
Hence,
k
(x) needs to be approximated numerically on the grid by
k,xx
(x
j
) :=

k
(x
j 1
) 2
k
(x
j
) +
k
(x
j +1
)
(x)
2
x grid size
Compute inner products
k,xx
,
n
, 1 k r
Solve coupled ODEs:
a
n
(t) =
2
r
k=1
a
k
(t)
k,xx
,
n
, n = 1, 2, . . . , r .
This is of the form a = Aa with a = col(a
1
, . . . , a
n
).
Again, we can explicitly solve this (in Matlab)!
k
Hence,
k
k,xx
(x
j
) :=

k
(x
j 1
) 2
k
(x
j
) +
k
(x
j +1
)
(x)
2
x grid size
k,xx
,
n
, 1 k r
Solve coupled ODEs:
a
n
(t) =
2
r
k=1
a
k
(t)
k,xx
,
n
, n = 1, 2, . . . , r .
1
, . . . , a
n
).
k
Hence,
k
k,xx
(x
j
) :=

k
(x
j 1
) 2
k
(x
j
) +
k
(x
j +1
)
(x)
2
x grid size
k,xx
,
n
, 1 k r
Solve coupled ODEs:
a
n
(t) =
2
r
k=1
a
k
(t)
k,xx
,
n
, n = 1, 2, . . . , r .
1
, . . . , a
n
).
k
Hence,
k
k,xx
(x
j
) :=

k
(x
j 1
) 2
k
(x
j
) +
k
(x
j +1
)
(x)
2
x grid size
k,xx
,
n
, 1 k r
Solve coupled ODEs:
a
n
(t) =
2
r
k=1
a
k
(t)
k,xx
,
n
, n = 1, 2, . . . , r .
1
, . . . , a
n
).
k
Hence,
k
k,xx
(x
j
) :=

k
(x
j 1
) 2
k
(x
j
) +
k
(x
j +1
)
(x)
2
x grid size
k,xx
,
n
, 1 k r
Solve coupled ODEs:
a
n
(t) =
2
r
k=1
a
k
(t)
k,xx
,
n
, n = 1, 2, . . . , r .
1
, . . . , a
n
).
k
Hence,
k
k,xx
(x
j
) :=

k
(x
j 1
) 2
k
(x
j
) +
k
(x
j +1
)
(x)
2
x grid size
k,xx
,
n
, 1 k r
Solve coupled ODEs:
a
n
(t) =
2
r
k=1
a
k
(t)
k,xx
,
n
, n = 1, 2, . . . , r .
1
, . . . , a
n
).
Simulations: (click to animate)
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0.25
0.2
0.15
0.1
0.05
0
0.05
0.1
0.15
0.2
0.25
original degree=100
Fourier approx. degree=5
POD approx. degree=5
Solutions wave equation
position
Solution wave equation for = 3, red: 5th order Fourier approximation,
green: 5th order POD approximation.
Summary
Summary
Most model reduction techniques require projection of the state
variable and state equations to dene low order models
This idea generalizes to nonlinear systems and systems described by
PDEs
For systems described by PDEs we consider spectral expansions
w(x, t) =
k=1
a
k
(t)
k
(x)
and their truncations as (approximate) solutions.
Functions
k
are selected to form an orthonormal basis of some
Hilbert space/inner product space.
Many choices are possible, including data-based functions
(POD-method)
Once basis functions are xed, coecients a
k
satisfy ODEs that we
can solve.
Low order POD approximations work well on wave propagation
example.
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Model Reduction 2013

is minimal for all r only if

2 sin(kx); x [0, 1]; k = 1, 2,

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