Rommes

Model order reduction
via
poles
NXPdominant
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template (Title)
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Joost Rommes [joost.rommes@nxp.com]
NXP Semiconductors/Corp. I&T/DTF/Mathematics
Name
Joint
Subjectwork with Nelson Martins (CEPEL), Gerard Sleijpen (UU)
Project
MMMM dd, yyyyon
Symposium
recent advances in MOR

November 23, 2007
Introduction
Eigenvalue problems and applications
Dynamical systems and transfer functions
Dominant poles
Dominant Pole Algorithm
Applications
Conclusions
2/38
CONFIDENTIAL
NXP Semiconductors Corp. I&T/DTF, Joost Rommes,
November 23, 32007
Subject/Department, Author, MMMM dd, yyyy
Introduction
I
Large-scale dynamical systems arise in

I
I
I
I
Transfer function and properties are used for

I
I
I
I
I
I
electrical circuit simulation

structural engineering
power system engineering
...
simulation
behavioral modeling
stability analysis
controller design
Relatively few transfer function poles of practical importance

Three key questions:
I
I
I
Which poles are important (dominant)?

How to compute these poles efficiently?
How to use these poles in model order reduction?
3/38
CONFIDENTIAL
November 23, 32007
Motivating example I: Pole-zero analysis

Frequency response of regulator IC (1000 unknowns). Which pole
causes peak around 6MHz?
Oct 17, 2007
11:35:07
DB(VN(VREG))
Bode Plot
20.0
(LIN)
10.0
0.0
-10.0
-20.0
-30.0
-40.0
-50.0
-60.0
1.0
Analysis: AC
User: nlv18077
10.0
100.0
1.0k
10.0k
Simulation date: 17-10-2007, 10:21:28
100.0k
1.0M
10.0M
100.0M
(LOG)
1.0G
10.0G
F
File: /home/nlv18077/test/pstar/stability_ne.sdif
Note dB(x)= 20 10 log(x), e.g. -60 dB = 103

4/38
CONFIDENTIAL
November 23, 32007
Motivating example II: Model order reduction

Transfer function of power system (66 unknowns). How to
compute reduced order model?
30
40
50
Gain (dB)
60
70
80
90
100
Exact
Reduced (series) (k=11)
Error (orig reduced)
110
120
10
15
20
25
30
35
Frequency (rad/s)
5/38
CONFIDENTIAL
November 23, 32007
The generalized eigenvalue problem

Given A, E Rnn , find (, x, y) that satisfy
Ax = E x,
x 6= 0
y A = y E ,
y 6= 0
An eigentriplet (, x, y) consists of
C
eigenvalue
xC
right eigenvector
yC
left eigenvector
(A, E ) has n eigenvalues (real / complex conjugated pairs)
Corresponding eigenspaces need not be n-dimensional
Bi-orthogonality: i 6= j yj E xi = 0
6/38
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November 23, 32007
Eigenvalue decompositions
Complete eigenvalue decomposition (, X , Y ):
AX = EX , Y A = Y E
with Y EX = I , Y AX =
diag(1 , 2 , . . . , n ) Cnn
[x1 , x2 , . . . , xn ] Cnn
[y1 , y2 , . . . , yn ] Cnn
In practice only interest in k n eigentriplets: partial ED

AXk = EXk k , Yk A = k Yk E
with Yk EXk = I , Yk AXk = k
diag(1 , 2 , . . . , k ) Ckk
Xk
[x1 , x2 , . . . , xk ] Cnk
Yk
[y1 , y2 , . . . , yk ] Cnk
7/38
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November 23, 32007
Eigenvalue computations
Methods for complete eigendompositions:
I
QR method for AX = X
QZ method for AX = EX
Complexity O(n3 ), practical use up to n 2000
Methods for partial eigendecompositions:

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Krylov methods (Lanczos, Arnoldi)
Newton based methods (Jacobi-Davidson [Sleijpen, Van der

Vorst (1995)])
No dense matrix computations needed
Careful selection strategies needed
8/38
CONFIDENTIAL
November 23, 32007
First-order dynamical systems
First-order SISO dynamical system

E x(t)
= Ax(t) + bu(t)
y (t)
= c x(t) + du(t)
where
u(t), y (t), d
R, input, output, direct i/o
x(t), b, c Rn , state, input-to-, -to-output

E
Rnn , system (descriptor) matrix
A Rnn , system matrix
9/38
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November 23, 32007
Transfer function
First-order SISO dynamical system (d = 0):

E x(t)
= Ax(t) + bu(t)
y (t)
= c x(t)
with transfer function
H(s) = c (sE A)1 b
Poles are C for which
lim H(s) = ,
or, equivalently,
det(E A) = 0,
i.e. the eigenvalues of (A, E )
10/38
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November 23, 32007
Transfer function H(s) = c (sE A)1 b

Can be expressed as
H(s) =
n
X
i=1
Ri
,
s i
where residues Ri are

Ri = (c xi )(yi b),
and (i , xi , yi ) are eigentriplets (i = 1, . . . , n)
Axi
= i E xi ,
yi A
yi E xi
yj E xi
i yi E ,
right eigenpairs
left eigenpairs
= 1,
normalization
= 0 (i 6= j),
E -orthogonality
11/38
CONFIDENTIAL
November 23, 32007
Dominant poles cause peaks in Bode-plot
H(s) = c (sE A)
b=
n
X
i=1
Ri
s i
with
Ri = (c xi )(yi b)
Bode-plot is graph of (, |H(i)|)

I
frequency R
magnitude |H(i)| usually in dB (note dB(x)= 20 10 log(x))
Consider pole = + i with residue R, then

n1
lim H(i) =
lim
X Rj
R
+
i ( + i)
i j
j=1
R
+ Hn1 (i)
=

Hence pole with large R causes peak
Re()
12/38
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November 23, 32007
0
Response
Dominant poles
10
20
Gain (dB)
30
40
50
60
70
80
90
100
10
12
Frequency (rad/s)
14
16
Figure: Bode plot (, |H(i)|). Pole j dominant if
18
20
|Rj |
|Re(j )|
large.
13/38
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November 23, 32007
Dominant poles of transfer functions

H(s) =
n
X
i=1
Ri
s i
with
|Ri |
|Re(i )|
Ri = (c xi )(yi b)
Pole i dominant if
large
Dominant poles cause peaks in Bode-plot (, |H(i)|)
Effective transfer function behavior:

Hk (s) =
k
X
i=1
Ri
,
s i
where k n and (i , Ri ) ordered by decreasing dominance

I
Early work modal approximation [Davison, Marschall (1966)]

14/38
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November 23, 32007
Dominant Pole Algorithm (DPA) and extensions
DPA [Martins (1996)] computes dominant poles of

H(s) = c (sE A)1 b
1. Newton scheme
2. Nice convergence behavior [R., Sleijpen (2006)]
3. Subspace acceleration, selection, deflation: SADPA [R.,
Martins (2006)]
4. Efficient deflation, extensions, applications [R., Martins,
Pellanda (2006)]
15/38
CONFIDENTIAL
November 23, 32007
Dominant Pole Algorithm [Martins (1996)]

H(s) = c (sE A)1 b
Pole : lims H(s) = , or lims
1
H(s)
=0
Apply Newtons Method to 1/H(s):

1 H 2 (sk )
H(sk ) H 0 (sk )
c (sk E A)1 b
= sk
c (sk E A)1 E (sk E A)1 b
sk+1 = sk +
Note
dH
ds
= c (sk E A)1 E (sk E A)1 b
16/38
CONFIDENTIAL
November 23, 32007
Dominant Pole Algorithm

Initial pole estimate s1 , tolerance 1
for k = 1, 2, . . . do
3:
Solve vk Cn from (sk E A)vk = b
4:
Solve wk Cn from (sk E A) wk = c
5:
Compute the new pole estimate
1:
2:
sk+1 = sk
6:
c vk
wk E vk
The pole = sk+1 with x = vk /kvk k2 and y = wk /kwk k

has converged if
k(sk+1 E A)xk2 <
7:
end for
17/38
CONFIDENTIAL
November 23, 32007
Twosided Rayleigh quotient iteration

Note that with v vk and w wk
c (sk E A)1 b
w E v
w E v c (sk E A)1 (sk E A)(sk E A)1 b

= sk
w Ev
w E v
w Av
=
w E v
sk+1 = sk
Step
3
4
DPA
solve (sk E A)vk = b
solve (sk E A) wk = c
Twosided RQI
solve (sk E A)vk = E vk1
solve (sk E A) wk = E wk1
Original work on twosided RQI [Ostrowski (1958), Parlett (1974)]

18/38
CONFIDENTIAL
November 23, 32007
Convergence behavior: DPA vs. RQI
Figure: = 0.47 + 8.9i: DPA: red + yellow, RQI: red + light blue.
19/38
CONFIDENTIAL
November 23, 32007
Convergence behavior: DPA vs. RQI

Typically, with initial pole guess s0 ,
I DPA converges to dominant pole closest to s0
I
I
with (c, x) and (b, y) small

i.e., large |R| with R = (c x)(y b)
Quadratic rate of convergence
See also [R., Sleijpen (2006)]
while
I
RQI converges to pole closest to s0
Originally intended for refinement of eigenpairs
Cubic rate of convergence
See also [Ostrowski (1958), Parlett (1974)]
20/38
CONFIDENTIAL
November 23, 32007
Extensions of DPA
DPA is a single pole algorithm
May have very local behavior
In practice more than one pole needed

Subspace Accelerated DPA [R., Martins (2006)]
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Subspace Acceleration
Several pole selection strategies
Deflation techniques
21/38
CONFIDENTIAL
November 23, 32007
Subspace acceleration and selection

I
Keep approximations vk and wk in search spaces V and W
Petrov-Galerkin leads to projected eigenproblem

e x = E
e x,
A
e =
e
y E
y A
e = W EV Ckk
where E
and
e = W AV Ckk
A
Gives k approximations (i , xi = V xi , yi = W yi ) in iter k
Select approximation with largest residue as next shift:

(c xi )(
yi b)

sk+1 = argmaxi
Re(i )
Similarities with twosided Jacobi-Davidson ([Hochstenbach

(2003), Stathopoulos (2002)])
22/38
CONFIDENTIAL
November 23, 32007
Deflation for H(s) = c (sE A)1 b

I
Triplet (, x, y): Ax = E x and y A = y E
New search spaces: V E y and W E x
Usual deflation (every iteration):
vk
(I xy E )vk
wk
(I yx E )wk
More efficient: deflate only once

bd (I E xy )b vk = (sk E A)1 bd E y
cd (I E yx )c wk = (sk E A) cd E x
Note that y bd = cd x = 0
23/38
CONFIDENTIAL
November 23, 32007
Deflation of dominant poles removes peaks

Bodeplot
30
Exact
Modal Equiv.
40
Gain (dB)
50
60
70
80
90
8
10
12
Frequency (rad/sec)
14
16
18
20
Figure: Exact transfer function (solid) with removal of dominant poles:

0.467 8.96i (square), 0.297 6.96i (asterisk), 0.0649 (diamond),
and 0.249 3.69i (circle).
24/38
CONFIDENTIAL
November 23, 32007
Applications of DPA
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Pole-zero analysis in circuit simulation

Applications in model order reduction
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Modal approximation
Dominant poles may lie anywhere in complex plane
Combinations with rational Krylov methods
25/38
CONFIDENTIAL
November 23, 32007
Pole-zero analysis
I
Large nonlinear Regulator IC (n = 1000)
Designed to deliver constant output voltage
Turns unstable for certain loads
Interested in positive poles and dominant poles
Linearization around DC solution
Results:
Method
QR
DPA
Time (s)
450
41
Poles
all
994 103 i5.6 106
8.0 106 i4 106
337 103
26/38
CONFIDENTIAL
November 23, 32007
Pole-zero analysis
Frequency response of circuit (1000 unknowns). Pole
994 103 i5.6 106 causes peak around 6MHz.
Oct 17, 2007
16:38:18
- y1-axis -
names: A_* --> 3 stability_ne.qr.sdif (AC)Bode Plot

+
B_* --> 1 stability_ne_dpa_3.cgap (AC)Bode Plot
20.0
(LIN)
A_DB(VN(VREG))
B_DB
10.0
0.0
-10.0
-20.0
-30.0
-40.0
-50.0
-60.0
1.0
Analysis: AC
User: nlv18077
10.0
100.0
10.0k
1.0k
Simulation date: 17-10-2007, 10:21:28
100.0k
1.0M
10.0M
100.0M
(LOG)
1.0G
10.0G
F
File: /home/nlv18077/test/pstar/stability_ne.qr.sdif
27/38
CONFIDENTIAL
November 23, 32007

Given large-scale dynamical system

E x(t)
= Ax(t) + bu(t)
y (t)
= c x(t) + du(t)
where x(t), b, c Rn and E , A Rnn , find

Ek x k (t) = Ak xk (t) + bk u(t)
yk (t)
= ck xk (t) + du(t)
where xk (t), bk , ck Rk , Ek , Ak Rkk and
I
kn
approximation error ky yk k small
28/38
CONFIDENTIAL
November 23, 32007

Model order reduction via projection:
1. Construct matrices V , W Rnk whose columns form a basis
for the dominant dynamics
2. Project using V and W :
Ek = W EV ,
Ak = W AV ,
bk = W b,
ck = V c
Various projection based methods:

I
Modal truncation: columns V , W are eigenvectors of (A, E )
Moment matching: columns V , W are bases for Krylov spaces
Balanced truncation: V , W part of balancing transformation
29/38
CONFIDENTIAL
November 23, 32007
Modal approximation and moment matching

20
SADPA (k=12)
Dual Arnoldi (k=30)
Orig (n=66)
30
Gain (dB)
40
50
60
70
80
90
10
12
Frequency (rad/s)
14
16
18
20
Figure: Frequency response of complete system (n = 66), modal

approximation (k = 12), and dual Arnoldi model (k = 30).
30/38
CONFIDENTIAL
November 23, 32007
Dominant poles: location in complex plane

0.8
0.6
exact poles
SADPA (k=12)
Dual Arnoldi (k=30)
0.4
0.2
imag
region of interest
0
0.2
0.4
0.6
0.8
16
14
12
10
real
Figure: Pole spectrum of complete system (n = 66), modal

31/38
CONFIDENTIAL
November 23, 32007
Dominant poles: location in complex plane (zoom)

Dominant poles not necessarily at outside of spectrum
exact poles
SADPA (k=12)
Dual Arnoldi (k=30)
0.5
0.4
0.3
0.2
imag
0.1
0
0.1
0.2
0.3
0.4
0.5
1
0.9
0.8
0.7
0.6
0.5
0.4
real
0.3
0.2
0.1
0.1
Figure: Pole spectrum (zoom) of complete system (n = 66), modal

32/38
CONFIDENTIAL
November 23, 32007
Rational Krylov methods [Ruhe (1998)]

General approach:
1. Choose m interpolation points si
2. Construct Vi , Wi Cnki such that
colspan(Vi ) = Kki ((si E A)1 E , (si E A)1 E b)
colspan(Wi ) = Kki ((si E A) E , (si E A) E c)
3. Project with V = [V1 , . . . , Vm ] and W = [W1 , . . . , Wm ]
Open question:
I
How to choose interpolation points si ?
See also PhD thesis Grimme (1997)
33/38
CONFIDENTIAL
November 23, 32007
60
k=40 (RKA)
k=10 (QDPA)
k=50 (RKA+QDPA10)
Exact
40
Gain (dB)
20
20
40
60
1
10
10
10
Frequency (rad/sec)
Figure: Breathing sphere (n = 17611). Exact transfer function (solid),

40th order SOAR RKA model (dot), 10th (dash-dot) order modal
equivalent, and 50th order hybrid RKA+QDPA (dash).
34/38
CONFIDENTIAL
November 23, 32007
Breathing sphere ([Lampe, Voss (2006)]) (n = 17611)

I
Two-sided rational SOAR [Bai and Su (2005)] model (k = 40,

shifts 0.1, 0.5, 1, 5) misses peaks
Small QDPA model (k = 10) matches some peaks, misses

global response
500 s (SOAR, k = 2 40) vs. 2800 s (QDPA, 108 iters)
Hybrid: Y = [YQDPA , YSOAR ] and X = [XQDPA , XSOAR ]
Larger SOAR models: no improvement
More poles with QDPA: expensive
Use imaginary parts of poles as shifts for SOAR!
Shifts 1 = 0.65i, 2 = 0.78i, 3 = 0.93i, and 4 = 0.1
Two-sided rational SOAR, 10-dimensional bases
35/38
CONFIDENTIAL
November 23, 32007
50
Gain (dB)
50
100
150
200
250
1
10
k=70 (RKA)
Exact
Rel Error
0
10
10
Frequency (rad/sec)
Figure: Breathing sphere (n = 17611). Exact transfer function (solid),

70th order SOAR RKA model (dash) using interpolation points based on
dominant poles, and relative error (dash-dot).
36/38
CONFIDENTIAL
November 23, 32007
Concluding remarks
I
DPA for computation of dominant poles
Subspace acceleration, selection, and efficient deflation
Straightforward implementation
Applications:
I
I
Various specialized eigenvalue problems

Model order reduction:
I
I
I
Construction of modal approximations

Interpolation points for rational Krylov
Behavioral modeling
Generalizations:
I
Second and higher-order systems
MIMO systems
Computation of dominant zeros z: H(z) = 0

37/38
CONFIDENTIAL
November 23, 32007
Thank you!
joost.rommes@nxp.com
www.nxp.com
rommes.googlepages.com
MOORE
N I C E!
38/38
CONFIDENTIAL
November 23, 32007

Rommes

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Model order reduction

recent advances in MOR

Large-scale dynamical systems arise in

Transfer function and properties are used for

electrical circuit simulation

Relatively few transfer function poles of practical importance

Which poles are important (dominant)?

Motivating example I: Pole-zero analysis

Simulation date: 17-10-2007, 10:21:28

Note dB(x)= 20 10 log(x), e.g. -60 dB = 103

Motivating example II: Model order reduction

The generalized eigenvalue problem

(A, E ) has n eigenvalues (real / complex conjugated pairs)

Corresponding eigenspaces need not be n-dimensional

In practice only interest in k  n eigentriplets: partial ED

with Yk EXk = I , Yk AXk = k

Complexity O(n3 ), practical use up to n 2000

Methods for partial eigendecompositions:

Krylov methods (Lanczos, Arnoldi)

Newton based methods (Jacobi-Davidson [Sleijpen, Van der

No dense matrix computations needed

Careful selection strategies needed

First-order dynamical systems

First-order SISO dynamical system

R, input, output, direct i/o

x(t), b, c Rn , state, input-to-, -to-output

Rnn , system (descriptor) matrix

A Rnn , system matrix

Transfer function H(s) = c (sE A)1 b

where residues Ri are

Dominant poles cause peaks in Bode-plot

Bode-plot is graph of (, |H(i)|)

magnitude |H(i)| usually in dB (note dB(x)= 20 10 log(x))

Consider pole = + i with residue R, then

Figure: Bode plot (, |H(i)|). Pole j dominant if

Dominant poles of transfer functions

Dominant poles cause peaks in Bode-plot (, |H(i)|)

Effective transfer function behavior:

where k  n and (i , Ri ) ordered by decreasing dominance

Early work modal approximation [Davison, Marschall (1966)]

Dominant Pole Algorithm (DPA) and extensions

DPA [Martins (1996)] computes dominant poles of

Dominant Pole Algorithm [Martins (1996)]

Pole : lims H(s) = , or lims

Apply Newtons Method to 1/H(s):

= c (sk E A)1 E (sk E A)1 b

Dominant Pole Algorithm

The pole = sk+1 with x = vk /kvk k2 and y = wk /kwk k

Twosided Rayleigh quotient iteration

w E v c (sk E A)1 (sk E A)(sk E A)1 b

Original work on twosided RQI [Ostrowski (1958), Parlett (1974)]

Convergence behavior: DPA vs. RQI

Convergence behavior: DPA vs. RQI

with (c, x) and (b, y) small

Quadratic rate of convergence

See also [R., Sleijpen (2006)]

RQI converges to pole closest to s0

Originally intended for refinement of eigenpairs

Cubic rate of convergence

See also [Ostrowski (1958), Parlett (1974)]

DPA is a single pole algorithm

May have very local behavior

In practice more than one pole needed

In practice only interest in k n eigentriplets: partial ED

where k n and (i , Ri ) ordered by decreasing dominance