Data-Driven Balancing of Linear Dynamical Systems

Abstract

We present a novel reformulation of balanced truncation, a classical model reduction method. The principal innovation that we introduce comes through the use of system response data that has been either measured or computed, without reference to any prescribed realization of the original model. Data are represented by sampled values of the transfer function or the impulse response corresponding to the original model. We discuss parallels that our approach bears with the Loewner framework, another popular data-driven method. We illustrate our approach numerically in both continuous-time and discrete-time cases.