Globally Optimal H2-Norm Model Reduction: A Numerical Linear Algebra Approach

Abstract

We show that the H2-norm model reduction problem for single-input/single-output (SISO) linear time-invariant (LTI) systems is essentially an eigenvalue problem (EP), from which the globally optimal solution(s) can be retrieved. The first-order optimality conditions of this model reduction problem constitute a system of multivariate polynomial equations that can be converted to an affine (or inhomogeneous) multiparameter eigenvalue problem (AMEP). We solve this AMEP by using the so-called augmented block Macaulay matrix, which is introduced in this paper and has a special (block) multi-shift invariant null space. The set of all stationary points of the optimization problem, i.e., the (2r)-tuples (r is the order of the reduced model) of affine eigenvalues and eigenvectors of the AMEP, follows from a standard EP related to the structure of that null space. At least one of these (2r)-tuples corresponds to the globally optimal solution of the H2-norm model reduction problem. We present a simple numerical example to illustrate our approach.