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CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION


Balanced Truncation

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu


These slides are based on the recommended textbook: A.C. Antoulas, Approximation of Large-Scale Dynamical Systems, Advances in Design and Control, SIAM, ISBN-0-89871-529-6

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation

Outline
1 Reachability and Observability 2 Balancing 3 Balanced Truncation 4 Preservation of Stability 5 Error Bounds 6 The POD method revisited 7 Numerical Computation of Balanced Truncation Decomposition 8 Application

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Systems Considered

The following stable LTI full-order systems are considered: d x(t ) dt y(t ) x(0) = Ax(t ) + Bu(t ) = Cx(t ) = x0

x Rn : vector state variables u Rp : vector of input variables, typically p y R : vector output variables, typically q Recall the solution x(t ) of the linear ODE:
t q

n n

x(t ) = (t , u; t0 , x0 ) = e A(t t0 ) x(t0 ) +


t0

e A(t ) Bu( )d , t t0

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Reachability, Controllability and Observability

Denition (1) A state x Rn is reachable if there exists an input function u(.) of nite energy and a time T < such that under that input and zero initial condition, the state of the system becomes x. Denition (2) A state x Rn is controllable to the zero state if there exist an input function u(.) and a time T < such that (T , u; 0, x) = 0n .

Denition (3) A state x Rn is unobservable if, for all t 0, y(t ) = C(t , 0; 0, x) = 0q .


David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Completely Controllable Dynamical System

Denition (4 - R.E. Kalman 1963) A linear dynamical system (A, B, C) is completely controllable at time t0 if it is not equivalent, for all t t0 to a system of the type d x(1) = A(1,1) x(1) + A(1,2) x(2) + B(1) u dt d x(2) = A(2,2) x(2) dt y(t ) = C(1) x(1) + C(2) x(2) Interpretation: it is not possible to nd a coordinate system in which the state variables are separated into two groups x(1) and x(2) such that the second group is not aected either by the rst group or by the inputs to the system. Controllability is only a property of (A, B) This denition can be extended to linear time variant systems
David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Completely Observable Dynamical System

Denition (5) A linear dynamical system (A, B, C) is completely observable at time t0 if it is not equivalent, for all t t0 to any system of the type d x(1) = A(1,1) x(1) + B(1) u dt d x(2) = A(2,1) x(1) + A(2,2) x(2) + B(2) u dt y(t ) = C(1) x(1) Dual of the previous denition Interpretation: it is not possible to nd a coordinate system in which the state variables are separated into two groups x(1) and x(2) such that the second group is not aected either by the rst group or the outputs of the system. Observability is only a property of (A, C) This denition can be extended to linear time variant systems
David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Example: Simple RLC Circuit

Equation of the network in terms of the current x1 owing through the inductor and the potential x2 across the capacitor (LC = R = 1). dx1 dt dx2 dt y1 1 = x1 + u1 L 1 = x2 + u 1 C 1 1 = x1 + x2 + u1 L C
CME 345: MODEL REDUCTION - Balanced Truncation

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Example: Simple RLC Circuit

Change of variable x 1 = 0.5(x1 + x2 ), x 2 = 0.5(x1 x2 ). Then the system becomes dx 1 dt dx 2 dt y1 1 = x 1 + u1 L 1 = x 2 L 2 = x 2 + u1 L

x 1 is controllable but not observable x 2 is observable but not controllable

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Canonical Structure Theorem

Theorem (Kalman 1961) Consider a dynamical system (A, B, C). Then: (i) there is a state space coordinate system in which the components of the state vector can be decomposed into four parts: x = [x(a) , x(b) , x(c ) , x(d ) ]T (ii) the sizes na , nb , nc and nd of these vectors do not depend choice of basis (iii) the systems matrices take the form (a,a) (a) A A(a,b) A(a,c ) A(a,d ) B (b ,b ) (b ,d ) 0 B(b ) A 0 A ,B = A= 0 0 0 A(c ,c ) A(c ,d ) (d ,d ) 0 0 0 0 A C= 0 C(b) 0 C(d ) . on the ,

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Canonical Structure Theorem

The four parts can be interpreted as follows


Part Part Part Part (a) is completely controllable but unobservable (b) is completely controllable and completely observable (c) is uncontrollable and unobservable (d) is uncontrollable and completely observable

This theorem can be extended to the linear time variant case

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Reachable and Controllable Subspaces

Denition (6) The reachable subspace Xreach Rn of a system (A, B, C) is the set containing all the reachable states of the system. R(A, B) = [B, AB, , An1 B, ] is the reachability matrix of the system. Denition (7) The controllable subspace Xcontr Rn of a system (A, B, C) is the set containing all the controllable states of the system

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Reachable and Controllable Subspaces

Theorem Consider the system (A, B, C). Then Xreach = im R(A, B) (1)

Corollary (i) AXreach Xreach (ii) The system is completely reachable if and only if rank R(A, B) = n (iii) Reachability is basis independent

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Reachability and Observability Gramians

Denition The reachability (controllability) Gramian at time t < is dened as the n-by-n symmetric positive semidenite matrix
t

P (t ) =
0

e A BB e A d

Denition The observability Gramian at time t < is the n-by-n symmetric positive semidenite matrix
t

Q(t ) =
0

e A C Ce A d

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Reachability and Observability Gramians

Proposition: The columns of P (t ) span the reachability subspace R(A, B). Corollary A system (A, B, C) is reachable if and only if P (t ) is symmetric positive denite at some time t > 0.

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Equivalence Between Reachability and Controllability

Theorem The notions of controllability and reachability are equivalent for continuous linear dynamical systems, that is Xreach = Xcontr

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Unobservability Subspace

Denition The unobservability subspace Xunobs Rn is the set of all unobservable states of system. O(C, A) = [C , A C , , (A )i C , ] is the observability matrix of the system.

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Unobservability Subspace

Theorem Consider the system (A, B, C). Then Xunobs = ker O(C, A) (2)

Corollary (i) AXunobs Xunobs (ii) The system is completely observable if and only if rank O(A, B) = n (iii) Observability is basis independent

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Innite Gramians

Denition The innite reachability (controllability) Gramian is dened as the n-by-n symmetric positive semidenite matrix

P=
0

e At BB e A t dt

Denition The innite observability Gramian is the n-by-n symmetric positive semidenite matrix Q=
0

e A t C Ce At dt

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Innite Gramians

Using the Parseval theorem, the two Gramians can be written in the frequency domain:
The innite reachability Gramian Z 1 P= (j In A)1 BB (j In A )1 d 2 The innite observability Gramian Z 1 Q= (j In A )1 C C(j In A)1 d 2

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Innite Gramians

The two innite Gramians are solution of the following Lyapunov equations: for the innite reachability Gramian AP + P A + BB = 0n for the innite observability Gramian A Q + QA + C C = 0n

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Reachability and Observability Energetic Interpretation

P and Q are respective bases for the reachable and observable subspaces.
P 1

and

are semi-norms

The inner product based on P 1 characterizes the minimal energy required to steer the state from 0 to x as t x
2 P 1

= xT P 1 x.

The inner product based on Q indicates the maximal energy produced by observing the output of the system corresponding to an initial state x0 when no input is applied x0
2 Q

= xT 0 Qx0 .

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Balancing Model Reduction Based on Balancing

Model reduction strategy: eliminate the states x that are at the same time:
dicult to reach, ie require a large energy x 2 P 1 to be reached dicult to observe, ie produce a small observation energy x 2 Q

These notions are basis depend We would like to place ourselves in a basis where both concepts are equivalent, ie where the system is balanced

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Balancing The Eect of Basis Change on the Gramians

Balancing requires changing the basis for the state using a transformation T GL(n) x = Tx Then:
e At B Te At T1 TB = Te At B B e A t B T T e A t T = B e A t T The reachability Gramian becomes = TP T P Ce At CT1 Te At T1 = Ce At T1 e A t C T e A t T T C = T e A t C The observability Gramian becomes = T QT1 Q

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Balancing Balancing Transformation


1 The balancing transformations Tbal and T bal can be computed as follows: 1 2

compute the Cholesky factorization P = UU compute the eigenvalue decomposition of U QU U QU = K2 K

where the entries in are ordered decreasingly compute the transformations Tbal
1 T bal

= =

2 K U1 UK 2
1

One can then check that


1 Tbal P T bal = Tbal QTbal =

Denition (Hankel Singular Values) = diag(1 , , n ) contains the Hankel singular values of the system
David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Balancing Variational Interpretation

Computing the balancing transformation Tbal is equivalent to minimizing the following function:
TGL(n)

min f (T) = min tr(TP T + T QT1 )


TGL(n)

For the optimal transformation Tbal , the function takes the value
n

f (Tbal ) = 2tr() = 2
i =1

where {i }n i =1 are the Hankel singular values.

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Balanced Truncation Block Partitioning of the System

Applying the change of variable x = Tbal x, the dynamical system , B , C ) where becomes (A
1 1 Tbal AT bal = A, Tbal B = B, CTbal = C

Let 1 k n. The system can be partitioned in blocks as = A 11 A 21 A 12 A 22 A , 2 C ,

= B = C

1 B 2 B 1 C

The subscripts 1 and 2 denote respectively a dimension of size k and nk


David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Balanced Truncation Block Partitioning of the System

The blocks with subscript 1 correspond to the most observable and reachable states. The blocks with subscript 2 correspond to the least observable and reachable states. The reduced-order model of size k obtained by balanced truncation is then the system 11 , B 1, C 1 ) Rk k Rk p Rqk (Ar , Br , Cr ) = (A The left and right reduced-order bases are respectively W = T bal (:, 1 : k ), V = Sbal (:, 1 : k )
1 where Sbal = T bal .

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Preservation of Stability Theorem

Theorem (Stability Preservation) 11 , B 1, C 1 ), a ROM obtained by balanced Consider (Ar , Br , Cr ) = (A truncation. Then: 1 has no eigenvalues on the open right half plane. (i) Ar = A 11 , B 1, C 1 ) and (A 22 , B 2, C 2 ) have no (ii) Furthermore, if the systems (A Hankel singular values in common, Ar has no eigenvalues on the imaginary axis.

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Error Bounds Theorem

Theorem (Error Bounds) The Balanced Truncation procedure yields the following error bound for the output of interest. n SV Let { i }n i =1 {i }i =1 denote the distinct Hankel singular values of the nSV system and { i }i =nk +1 the ones that have been truncated. Then
nSV

y(t ) yr (t )

2
i =nk +1

i u(t ) 2 .

Equivalently, in terms of the H -norm of the error system


nSV

G(s ) Gr (s )

2
i =nk +1

i .

where G(s ) and Gr (s ) are the full- and reduced-order transfer functions. Equality holds when nk +1 = nSV (all truncated singular values are equal).
David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Error Bounds Theorem

Proof. The proof proceeds in 3 steps


1 2

Consider the error system E(s ) = G(s ) Gr (s ). Show that if all the truncated singular values are all equal to , then E(s )
H

= 2

Use this result to show that in the general case


nSV

E(s )

2
i =nk +1

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation The POD method revisited POD

Recall the theorem giving the POD basis: Theorem denote the n-by-n real symmetric matrix Let K
T

= K
0

x(t )x(t )T dt .

1 2 n 0 be the eigenvalues of K and Let i Rn , i = 1, , n their associated eigenvectors i = i i , i = 1, , n. K k > k +1 . The subspace V ) minimizing J ( ) is the = span(V Assume associated with the eigenvalues 1, , k invariant subspace of K

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation The POD method revisited POD for an Impulse Response

For an single impulse input with zero initial condition, the response for an LTI system is x(t ) = e At B Consequence:
T T

= K
0

x(t )x(t )T dt =
0

e At BBT e A t dt = P

is the reachability gramian. Unlike the Balanced Truncation method, the method does not take the observability gramian into account to determine the ROM: very observable states may be truncated.

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Numerical Computation of Balanced Truncation Decomposition Numerical Methods

Computing the transformations


1 2 Tbal = 2 K U1 , T bal = UK
1 1

is usually ill-advised for numerical stability (computation of inverses). Instead, it is better advised to use the following procedure:
1

start from Cholesky decompositions of the Gramians P = UU , Q = ZZ

Compute the SVD U Z = WV Let


1 Tbal = V Z , T bal = UW

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Numerical Computation of Balanced Truncation Decomposition Cost and Limitations

Balanced Truncation leads to ROM having quality and stability guarantees, however:
Computation of the Gramians is expensive as it requires computing the solution of a Lyapunov equation (O(n3 ) operations) As such, Balanced Truncation is generally impractical for large systems of size n 105

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Application CD Player System

Goal is to model the position of the lens controlled by a swing arm 2-inputs/2-outputs system
David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Application CD Player System

Bode plot of the Full-Order Model (n = 120) Each column represents one input and each row a dierent output
Bode Diagram From: In(1) From: In(2)

100
To: Out(1)

0 100

Magnitude (dB)

200 100 0
To: Out(2)

100 200

10

10

5
Frequency (rad/sec)

10

10

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

CME 345: MODEL REDUCTION - Balanced Truncation Application CD Player System

Bode plot of the balanced truncation-based reduced-order models Each column represents one input and each row a dierent output
Bode Diagram From: In(1) From: In(2)

150 100
To: Out(1)

50 0 50

ssFOM ssBT_5 ssBT_10 ssBT_20 ssBT_30 ssBT_40

Magnitude (dB)

100 50 0
To: Out(2)

50 100 150 10
5

Frequency (rad/sec)

10

David Amsallem & Charbel Farhat Stanford University cfarhat@stanford.edu

CME 345: MODEL REDUCTION - Balanced Truncation

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