Convergent algorithms for frequency weighted L2 model reduction |
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| Authors: | Wei-Yong Yan Lihua Xie James Lam |
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| Affiliation: | aSchool of Electrical and Electronic Engineering, Nanyang Technological University, Nanyang Avenue, Singapore 639798, Singapore;bDepartment of Mechanical Engineering, University of Hong Kong, Pokfulam Road, Hong Kong, Hong Kong |
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| Abstract: | This paper is concerned with computing an L2-optimal reduced-order model for a given stable multivariable linear system in the presence of input and output frequency weightings. By parametrizing a class of reduced-order models in terms of an orthogonal projection and using manifold techniques as tools, both continuous and iterative algorithms are derived and their convergence properties are established. As an application, we show that an L2 optimal reduced-order filter in the closed-loop sense can be computed using these algorithms. |
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| Keywords: | Linear systems Model reduction Kalman filters L2 norm Optimization |
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