Finding the nearest passive or nonpassive system via Hamiltonian eigenvalue optimization

DOI10.1137/20M1376972zbMATH Open1483.65097arXiv2010.15954OpenAlexW3214320698MaRDI QIDQ5014162FDOQ5014162

Authors: Antonio Fazzi, Christian Lubich, Nicola Guglielmi 

Publication date: 1 December 2021

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

Abstract: We propose and study an algorithm for computing a nearest passive system to a given non-passive linear time-invariant system (with much freedom in the choice of the metric defining `nearest', which may be restricted to structured perturbations), and also a closely related algorithm for computing the structured distance of a given passive system to non-passivity. Both problems are addressed by solving eigenvalue optimization problems for Hamiltonian matrices that are constructed from perturbed system matrices. The proposed algorithms are two-level methods that optimize the Hamiltonian eigenvalue of smallest positive real part over perturbations of a fixed size in the inner iteration, using a constrained gradient flow. They optimize over the perturbation size in the outer iteration, which is shown to converge quadratically in the typical case of a defective coalescence of simple eigenvalues approaching the imaginary axis. For large systems, we propose a variant of the algorithm that takes advantage of the inherent low-rank structure of the problem. Numerical experiments illustrate the behavior of the proposed algorithms.

Full work available at URL: https://arxiv.org/abs/2010.15954

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zbMATH Keywords

matrix nearness problemHamiltonian matricesstructured eigenvalue optimizationdistance to nonpassivitypassive control systemstructured passivity enforcement

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Eigenvalues, singular values, and eigenvectors (15A18) Eigenvalue problems (93B60) Linear systems in control theory (93C05)

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Cited In (3)

• Stochastic modeling of stationary scalar Gaussian processes in continuous time from autocorrelation data
• Computation of the nearest structured matrix triplet with common null space
• Root-Max Problems, Hybrid Expansion-Contraction, and Quadratically Convergent Optimization of Passive Systems

Uses Software

• SLICOT
• PSAPSR

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