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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

This work studies reduced order modeling (ROM) approaches to speed up the solution of variational data assimilation problems with large scale nonlinear dynamical models. It is shown that a key requirement for a successful reduced order…

Systems and Control · Computer Science 2015-05-20 Răzvan Ştefănescu , Adrian Sandu , Ionel Michael Navon

We propose a reduced basis method to solve time-dependent partial differential equations based on the Laplace transform. Unlike traditional approaches, we start by applying said transform to the evolution problem, yielding a…

Numerical Analysis · Mathematics 2025-09-30 Ricardo Reyes

The evaluation of robustness and reliability of realistic structures in the presence of uncertainty involves costly numerical simulations with a very high number of evaluations. This motivates model order reduction techniques like the…

Numerical Analysis · Mathematics 2024-12-20 Steffen Kastian , Dieter Moser , Stefanie Reese , Lars Grasedyck

Partial differential equations can be used to model many problems in several fields of application including, e.g., fluid mechanics, heat and mass transfer, and electromagnetism. Accurate discretization methods (e.g., finite element or…

Numerical Analysis · Mathematics 2022-03-18 Pierfrancesco Siena , Michele Girfoglio , Gianluigi Rozza

We consider integrated circuits with semiconductors modeled by modified nodal analysis and drift-diffusion equations. The drift-diffusion equations are discretized in space using mixed finite element method. This discretization yields a…

Numerical Analysis · Mathematics 2010-03-03 Michael Hinze , Martin Kunkel

A nonintrusive model order reduction method for bilinear stochastic differential equations with additive noise is proposed. A reduced order model (ROM) is designed in order to approximate the statistical properties of high-dimensional…

Numerical Analysis · Mathematics 2025-06-11 M. A. Freitag , J. M. Nicolaus , M. Redmann

We investigate the sensitivity of reduced order models (ROMs) to training data resolution as well as sampling rate. In particular, we consider proper orthogonal decomposition (POD), coupled with Galerkin projection (POD-GP), as an intrusive…

Fluid Dynamics · Physics 2020-07-15 Shady E. Ahmed , Omer San , Diana A. Bistrian , Ionel M. Navon

This paper introduces a novel error estimator for the Proper Generalized Decomposition (PGD) approximation of parametrized equations. The estimator is intrinsically random: It builds on concentration inequalities of Gaussian maps and an…

Numerical Analysis · Mathematics 2019-10-28 Kathrin Smetana , Olivier Zahm

We propose a Proper Orthogonal Decomposition (POD)-Galerkin based Reduced Order Model (ROM) for a Leray model. For the implementation of the model, we combine a two-step algorithm called Evolve-Filter (EF) with a computationally efficient…

Numerical Analysis · Mathematics 2021-04-14 Michele Girfoglio , Annalisa Quaini , Gianluigi Rozza

Reduced-order models have long been used to understand the behavior of nonlinear partial differential equations (PDEs). Naturally, reduced-order modeling techniques come at the price of computational accuracy for a decrease in computation…

Numerical Analysis · Mathematics 2023-07-26 Jovan Žigić

A space-time-parameters structure of parametric parabolic PDEs motivates the application of tensor methods to define reduced order models (ROMs). Within a tensor-based ROM framework, the matrix SVD - a traditional dimension reduction…

Numerical Analysis · Mathematics 2024-08-22 Alexander V. Mamonov , Maxim A. Olshanskii

Solving optimal control problems for transport-dominated partial differential equations (PDEs) can become computationally expensive, especially when dealing with high-dimensional systems. To overcome this challenge, we focus on developing…

Optimization and Control · Mathematics 2026-03-31 Tobias Breiten , Shubhaditya Burela , Philipp Schulze

We develop a Proper Orthogonal Decomposition (POD)-Galerkin based Reduced Order Model (ROM) for the efficient numerical simulation of the parametric Navier-Stokes equations in the stream function-vorticity formulation. Unlike previous…

Numerical Analysis · Mathematics 2022-01-04 Michele Girfoglio , Annalisa Quaini , Gianluigi Rozza

In this contribution we propose reduced order methods to fast and reliably solve parametrized optimal control problems governed by time dependent nonlinear partial differential equations. Our goal is to provide a tool to deal with the time…

Numerical Analysis · Mathematics 2023-08-08 Francesco Ballarin , Gianluigi Rozza , Maria Strazzullo

In this paper we study the approximation of a distributed optimal control problem for linear para\-bolic PDEs with model order reduction based on Proper Orthogonal Decomposition (POD-MOR). POD-MOR is a Galerkin approach where the basis…

Optimization and Control · Mathematics 2015-12-08 Alessandro Alla , Carmen Graessle , Michael Hinze

The a priori error analysis of reduced order models (ROMs) for fluids is relatively scarce. In this paper, we take a step in this direction and conduct numerical analysis of the recently introduced time relaxation ROM (TR-ROM), which uses…

Numerical Analysis · Mathematics 2025-10-20 Jorge Reyes , Ping-Hsuan Tsai , Julia Novo , Traian Iliescu

Parametric model order reduction techniques often struggle to accurately represent transport-dominated phenomena due to a slowly decaying Kolmogorov n-width. To address this challenge, we propose a non-intrusive, data-driven methodology…

Fluid Dynamics · Physics 2023-05-01 Shubhaditya Burela , Philipp Krah , Julius Reiss

This paper proposes a large eddy simulation reduced order model(LES-ROM) framework for the numerical simulation of realistic flows. In this LES-ROM framework, the proper orthogonal decomposition(POD) is used to define the ROM basis and a…

Fluid Dynamics · Physics 2015-10-12 Xuping Xie , David Wells , Zhu Wang , Traian Iliescu

Reduced-order models (ROMs) are widely used in fluid engineering to enable rapid prediction of flow fields for parametric analysis, design optimization, and control applications. Proper orthogonal decomposition (POD) is commonly employed to…

Fluid Dynamics · Physics 2026-02-25 Yuto Nakamura , Shintaro Sato , Naofumi Ohnishi
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