Optimal model reduction and frequency-weighted extension

In this paper the quadratically optimal model reduction problem for single-input, single-output systems is considered. The reduced order model is determined by minimizing the integral of the magnitude-squared of the transfer function error. It is shown that the numerator coefficients of the optimal approximant satisfy a weighted least squares problem and, on this basis, a two-step iterative algorithm is developed combining a least squares solver with a gradient minimizer. The existence of globally optimal stable solutions to the optimization problem is established, and convergence of the algorithm to stationary values of the cost function is proved. The formulation is extended to handle the frequency-weighted optimal model reduction problem. Three examples demonstrate the optimization algorithm.