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This paper presents a model order reduction (MOR) approach for high dimensional problems in the analysis of financial risk. To understand the financial risks and possible outcomes, we have to perform several thousand simulations of the…

Computational Finance · Quantitative Finance 2021-06-15 Andreas Binder , Onkar Jadhav , Volker Mehrmann

Model order reduction (MOR) involves offering low-dimensional models that effectively approximate the behavior of complex high-order systems. Due to potential model complexities and computational costs, designing controllers for…

Systems and Control · Electrical Eng. & Systems 2025-02-04 Behrad Samari , Amy Nejati , Abolfazl Lavaei

Feedback control synthesis for nonlinear, parameter-dependent fluid flow control problems is considered. The optimal feedback law requires the solution of the Hamilton-Jacobi-Bellman (HJB) PDE suffering the curse of dimensionality. This is…

Optimization and Control · Mathematics 2023-11-29 Sergey Dolgov , Dante Kalise , Luca Saluzzi

A non-intrusive model order reduction (MOR) method for solving parameterized electromagnetic scattering problems is proposed in this paper. A database collecting snapshots of high-fidelity solutions is built by solving the parameterized…

Numerical Analysis · Mathematics 2022-07-19 Xiao-Feng He , Liang Li , Stephane Lanteri , Kun Li

We discuss structure-preserving time discretization for nonlinear port-Hamiltonian systems with state-dependent mass matrix. Such systems occur, for instance, in the context of structure-preserving nonlinear model order reduction for…

Numerical Analysis · Mathematics 2023-11-02 Philipp Schulze

This paper focuses on exploring efficient ways to find $\mathcal{H}_2$ optimal Structure-Preserving Model Order Reduction (SPMOR) of the second-order systems via interpolatory projection-based method Iterative Rational Krylov Algorithm…

Optimization and Control · Mathematics 2023-10-10 Md. Motlubar Rahman , M. Monir Uddin , L. S. Andallah , Mahtab Uddin

We propose a projection-based monolithic model order reduction (MOR) procedure for a class of problems in nonlinear mechanics with internal variables. The work is is motivated by applications to thermo-hydro-mechanical (THM) systems for…

Numerical Analysis · Mathematics 2021-09-14 Angelo Iollo , Giulia Sambataro , Tommaso Taddei

In this note, we consider port-Hamiltonian structures in numerical optimal control of ordinary differential equations. By introducing a novel class of nonlinear monotone port-Hamiltonian (pH) systems, we show that the primal-dual gradient…

Optimization and Control · Mathematics 2024-12-17 Hannes Gernandt , Manuel Schaller

This paper proposes a data-driven algorithm for model order reduction (MOR) of large-scale wind farms and studies the effects that the obtained reduced-order model (ROM) has when this is integrated into the power grid. With respect to…

Systems and Control · Electrical Eng. & Systems 2024-12-16 Zilong Gong , Junyu Mao , Adrià Junyent-Ferré , Giordano Scarciotti

In this paper we discuss a projection model order reduction (MOR) method for a class of parametric linear evolution PDEs, which is based on the application of the Laplace transform. The main advantage of this approach consists in the fact…

Numerical Analysis · Mathematics 2022-09-02 Nicola Guglielmi , Mattia Manucci

A fluid-structure interaction model in a port-Hamiltonian representation is derived for a classical guitar. We combine the laws of continuum mechanics for solids and fluids within a unified port-Hamiltonian (pH) modeling approach by…

Model Order Reduction (MOR) methods enable the generation of real-time-capable digital twins, which can enable various novel value streams in industry. While traditional projection-based methods are robust and accurate for linear problems,…

Numerical Analysis · Mathematics 2021-09-09 Qinyu Zhuang , Juan Manuel Lorenzi , Hans-Joachim Bungartz , Dirk Hartmann

We propose a new reduced order modeling strategy for tackling parametrized Partial Differential Equations (PDEs) with linear constraints, in particular Darcy flow systems in which the constraint is given by mass conservation. Our approach…

Numerical Analysis · Mathematics 2023-11-27 Wietse M. Boon , Nicola R. Franco , Alessio Fumagalli , Paolo Zunino

Model order reduction provides low-complexity high-fidelity surrogate models that allow rapid and accurate solutions of parametric differential equations. The development of reduced order models for parametric \emph{nonlinear} Hamiltonian…

Numerical Analysis · Mathematics 2024-09-30 Cecilia Pagliantini , Federico Vismara

The modeling framework of port-Hamiltonian systems is systematically extended to constrained dynamical systems (descriptor systems, differential-algebraic equations). A new algebraically and geometrically defined system structure is…

Optimization and Control · Mathematics 2017-08-29 Christopher Beattie , Volker Mehrmann , Hongguo Xu , Hans Zwart

In this paper, we generalize existing frameworks for $\mathcal{H}_2\otimes\mathcal{L}_2$-optimal model order reduction to a broad class of parametric linear time-invariant systems. To this end, we derive first-order necessary ptimality…

Optimization and Control · Mathematics 2022-04-04 Manuela Hund , Tim Mitchell , Petar Mlinarić , Jens Saak

Lie groups and their actions are ubiquitous in the description of physical systems, and we explore implications in the setting of model order reduction (MOR). We present a novel framework of MOR via Lie groups, called MORLie, in which…

Numerical Analysis · Mathematics 2026-04-01 Yannik P. Wotte , Patrick Buchfink , Silke Glas , Federico Califano , Stefano Stramigioli

Reduced basis methods are projection-based model order reduction techniques for reducing the computational complexity of solving parametrized partial differential equation problems. In this work we discuss the design of pyMOR, a freely…

Mathematical Software · Computer Science 2019-10-30 René Milk , Stephan Rave , Felix Schindler

Estimating parameters of Partial Differential Equations (PDEs) is of interest in a number of applications such as geophysical and medical imaging. Parameter estimation is commonly phrased as a PDE-constrained optimization problem that can…

Numerical Analysis · Mathematics 2018-10-15 Samy Wu Fung , Lars Ruthotto

We present a data-driven framework for $h^{2}$-optimal model reduction for linear discrete-time systems. Our main contribution is to create optimal reduced-order models in the $h^{2}$-norm sense directly from the measurement data alone,…

Optimization and Control · Mathematics 2025-09-26 Hiroki Sakamoto , Kazuhiro Sato