Efficient algorithms for eigensystem realization using randomized SVD

DOI10.1137/20M1327616MaRDI QIDQ4997845zbMATH OpenOpenAlexFDO

Authors Rachel Minster, Arvind K. Saibaba, Jishnudeep Kar, Aranya Chakrabortty

Publication date 30 June 2021

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.11872

zbMATH Keywords

eigensystem realization algorithmrandomized algorithmssingular value decompositionsystem identification

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Realizations from input-output data (93B15) System identification (93B30) Eigenvalue problems (93B60)

Abstract: Eigensystem Realization Algorithm (ERA) is a data-driven approach for subspace system identification and is widely used in many areas of engineering. However, the computational cost of the ERA is dominated by a step that involves the singular value decomposition (SVD) of a large, dense matrix with block Hankel structure. This paper develops computationally efficient algorithms for reducing the computational cost of the SVD step by using randomized subspace iteration and exploiting the block Hankel structure of the matrix. We provide a detailed analysis of the error in the identified system matrices and the computational cost of the proposed algorithms. We demonstrate the accuracy and computational benefits of our algorithms on two test problems: the first involves a partial differential equation that models the cooling of steel rails, and the second is an application from power systems engineering.

Recommendations

• Tangential interpolation-based eigensystem realization algorithm for MIMO systems
• Efficient computation of the eigensystem realization algorithm
• Algorithm 971
• System identification via CUR-factored Hankel approximation
• Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions

Cites work

• A randomized blocked algorithm for efficiently computing rank-revealing factorizations of matrices
• Accuracy of singular vectors obtained by projection-based SVD methods
• Approximation of Large-Scale Dynamical Systems
• Efficient randomized algorithms for the fixed-precision low-rank matrix approximation
• Filtering and System Identification
• Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions
• scientific article; zbMATH DE number 47363 (Why is no real title available?)
• scientific article; zbMATH DE number 1090982 (Why is no real title available?)
• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• Identification of observer/Kalman filter Markov parameters - Theory and experiments
• Low-Rank Matrix Approximation Using the Lanczos Bidiagonalization Process with Applications
• Numerical methods in matrix computations
• Randomized numerical linear algebra: Foundations and algorithms
• Randomized subspace iteration: analysis of canonical angles and unitarily invariant norms
• System identification via CUR-factored Hankel approximation
• Tangential interpolation-based eigensystem realization algorithm for MIMO systems

Cited in

(5)

• Tangential interpolation-based eigensystem realization algorithm for MIMO systems
• System identification via CUR-factored Hankel approximation
• Structured Matrix Approximations via Tensor Decompositions
• Randomised subspace system identification: complexities and error bounds
• Data-Driven Model Order Reduction with pyMOR

This page was built for publication: Efficient algorithms for eigensystem realization using randomized SVD

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4997845)