Analysis of parametric models. Linear methods and approximations

DOI10.1007/S10444-019-09735-4MaRDI QIDQ2305542zbMATH OpenOpenAlexFDO

Publication date 11 March 2020

Published in Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.01101

correlation factorization parametric models representation reproducing kernel Hilbert space spectral decomposition

General theory of mathematical modeling (00A71) Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) Approximation methods and numerical treatment of dynamical systems (37M99) Approximation by arbitrary linear expressions (41A45) Multidimensional problems (41A63) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Applications of operator theory in systems, signals, circuits, and control theory (47N70) Generalized stochastic processes (60G20) Random fields (60G60) Numerical analysis in abstract spaces (65J99) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

Abstract: Parametric models in vector spaces are shown to possess an associated linear map. This linear operator leads directly to reproducing kernel Hilbert spaces and affine- / linear- representations in terms of tensor products. From the associated linear map analogues of covariance or rather correlation operators can be formed. The associated linear map in fact provides a factorisation of the correlation. Its spectral decomposition, and the associated Karhunen-Lo`eve- or proper orthogonal decomposition in a tensor product follow directly. It is shown that all factorisations of a certain class are unitarily equivalent, as well as that every factorisation induces a different representation, and vice versa. A completely equivalent spectral and factorisation analysis can be carried out in kernel space. The relevance of these abstract constructions is shown on a number of mostly familiar examples, thus unifying many such constructions under one theoretical umbrella. From the factorisation one obtains tensor representations, which may be cascaded, leading to tensors of higher degree. When carried over to a discretised level in the form of a model order reduction, such factorisations allow very sparse low-rank approximations which lead to very efficient computations especially in high dimensions.

Review text

This is a high lever discussion of parametric models that have many applications such as optimal control, uncertainty quantification, model reduction, etc. The main purpose of the paper is to provide a survey and a unifying approach. In the abstract setting of the paper, the problem takes the form of a function \(r(p)\) in some Hilbert space \(\mathcal{U}\) depending on parameters \(p\) (e.g., \(r(p)\) is describing the state) and it is the unique solution of some equation \(F(r(p),p)=0\). The Hilbert space is essential because taking an inner product in \(\mathcal{U}\) allows to define a linear map \(R:u\mapsto \langle r(p),u\rangle \in\mathbb{R}\). Then a reproducing kernel or an orthonormal basis for \(\mathcal{U}\) can be defined. The operator \(C=R^*R\) is the correlation, which has a spectral decomposition, and can have several differential factorizations, giving rise to different (known) methods and techniques. The paper analyses the equivalence and relations between all these approaches and links these to known, seemingly different, methods and applications.

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