A Riemannian rank-adaptive method for low-rank optimization

This paper presents an algorithm that solves optimization problems on a matrix manifold $\mathcal{M} \subseteq \mathbb{R}^{m \times n}$ with an additional rank inequality constraint. The algorithm resorts to well-known Riemannian optimization schemes on fixed-rank manifolds, combined with new mechanisms to increase or decrease the rank. The convergence of the algorithm is analyzed and a weighted … Read more

H2-optimal model reduction of MIMO systems

We consider the problem of approximating a $p\times m$ rational transfer function $H(s)$ of high degree by another $p\times m$ rational transfer function $\hat{H}(s)$ of much smaller degree. We derive the gradients of the $H_2$-norm of the approximation error and show how stationary points can be described via tangential interpolation. Citation Technical report UCL-INMA-2007.034, Department … Read more