Model Reduction Software
Name
emgr  Empirical Gramian framework for model reduction and system identification of inputoutput systems.
Synopsis
Empirical gramians can be computed for linear and nonlinear statespace control systems for purposes of model order reduction (MOR), system identification (SYSID) and uncertainty quantification (UQ). Model reduction using empirical gramians can be applied to the statespace, to the parameterspace or to both through combined reduction. For state reduction, balanced truncation of the empirical controllability gramian and the empirical observability gramian, or alternatively, direct truncation (approximate balancing) of the empirical cross gramian or the empirical linear cross gramian for largescale linear systems, is available. For parameter reduction, parameter identification and sensitivity analysis the empirical sensitivity gramian (controllability of parameters) or the empirical identifiability gramian (observability of parameters) are provided. Combined state and parameter reduction is enabled by the empirical joint gramian, which computes controllability and observability of states (cross gramian) and observability of parameters (crossidentifiability gramian) concurrently. The empirical gramian framework is a compact opensource toolbox for (empirical) GRAMIANbased model reduction and compatible with OCTAVE and MATLAB. emgr provides a common interface for the computation of empirical gramians and empirical covariance matrices.
Scope
 Model Reduction
 Robust Reduction
 Parametric Model Order Reduction
 Sensitivity Analysis
 Parameter Identification
 Parameter Reduction
 Combined State and Parameter Reduction
 Decentralized Control
 Uncertainty Quantification
 Optimal Sensor Placement
 Linear + Nonlinear Control Systems
 First + Second Order Systems
 Parametrized  Parametric Systems
 Discretized PDEs
 Systems with:
 Vector Field f: ẋ(t) = f(x(t),u(t),p)
 Output Functional g: y(t) = g(x(t),u(t),p)
Download
Get emgr
here: emgr.m (Version: 3.9)
[mirror]
[source]
[meta]
^{(emgr is written in the matlab programming language and requires Octave or Matlab. emgr has no dependencies on other toolboxes or packages.)}
License
All source code is licensed under the open source BSD 2clause license:
Copyright (c) 20132016, Christian Himpe
All rights reserved.
Redistribution and use in source and binary forms, with or without
modification, are permitted provided that the following conditions are met:
1. Redistributions of source code must retain the above copyright notice, this
list of conditions and the following disclaimer.
2. Redistributions in binary form must reproduce the above copyright notice,
this list of conditions and the following disclaimer in the documentation
and/or other materials provided with the distribution.
THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND
ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
Usage
General Usage: W = emgr(f,g,s,t,w,pr,nf,ut,us,xs,um,xm);
Minimal Usage: W = emgr(f,g,s,t,w);
About Info Usage: v = emgr('version');
Arguments
f
 Handle to a function with signaturex = f(x,u,p)
, the system's vector field.g
 Handle to a function with signaturex = g(x,u,p)
, the output functional.g = 1
impliesy = x
.s
 Three component vectors = [J,N,O]
holding number of inputs, states and outputs.t
 Two component vectort = [h,T]
holding time step and stop time.w
 A character selecting the gramian type, for details see Gramians.
Optional Arguments
pr
 System parameters (Default:0
;'s'
,'i'
,'j'
require two coloumns for min and max parameter),vector
 Column vector holding the parameters,matrix
 Set of column vectors holding different sets of parameters.
nf
 Twelve component vector holding options; (Default:0
), for details see Option Flags.ut
 Input time series (Default:1
),scalar
 Impulse input scaled by provided value,vector
 Impulse input seperately scaled by vector components,matrix
 Discrete input time series of dimensionsJ x (T/h),
handle
 Function Handle with signatureu = U(t)
; discretized internally,∞
 Linear chirp input using the havercosine.
us
 Steadystate input (Default:0
),scalar
 Sets allJ
input components to provided value,vector
 SteadyState input column vector of dimensionJ
.
xs
 Steadystate, also used as nominal initial state (Default:0
),scalar
 Sets allN
steadystate components to provided value,vector
 Steadystate column vector of dimensionN
.
um
 Input perturbation scales (Default:1
),scalar
 Set all maximum scales to argument,vector
 Set maximum to scale to argument,matrix
 Set scales to argument, used as is.
xm
 Initial state perturbation scales (Default:1
),scalar
 Set all maximum scales to argument,vector
 Set maximum to scale to argument,matrix
 Set scales to argument, used as is.
Gramians
'c'
 Empirical Controllability Gramian (WC
),'o'
 Empirical Observability Gramian (WO
),'x'
 Empirical Cross Gramian (WX
) akaWCO
orXCG
,'y'
 Empirical Linear Cross Gramian (WY
),'s'
 Empirical Sensitivity Gramian (WS
),'i'
 Empirical Identifiability Gramian (WI
),'j'
 Empirical Joint Gramian (WJ
).
WZ
can be selected by option nf(7)=1
and is compatible with the empirical cross gramian WX
and the empirical joint gramian WJ
.
Flags
nf(1)
 Center timer series around (Default:0
),= 0
 Zero,= 1
 Initial state,= 2
 Steady state (assumed to be reached at final time),= 3
 Arithmetic average over time,= 4
 Median over time,= 5
 Midrange over time,= 6
 Rootmeansquare over time.
nf(2)
 Input scale sequence (Default:0
),= 0
 Linearum = um*[0.25,0.50,0.75,1.0]
;= 1
 Logarithmicum = um*[0.001,0.01,0.1,1.0]
;= 2
 Geometricum = um*[0.125,0.25,0.5,1.0]
;= 3
 Singleum = um
;= 4
 Sparseum = um*[0.38,0.71,0.92,1.0]
;
nf(3)
 State scale sequence (Default:0
),= 0
 Linearxm = xm*[0.25,0.50,0.75,1.0]
;= 1
 Logarithmicxm = xm*[0.001,0.01,0.1,1.0]
;= 2
 Geometricxm = xm*[0.125,0.25,0.5,1.0]
;= 3
 Singlexm = xm
;= 4
 Sparsexm = xm*[0.38,0.71,0.92,1.0]
;
nf(4)
 Input transformations (Default:0
),= 0
 Unitum = [um,um]
;= 1
 Inverseum = [um,1.0./um]
;= 2
 Dyadicum = um*um'
;= 3
 Singleum = um
;
nf(5)
 State transformations (Default:0
),= 0
 Unitxm = [xm,xm]
;= 1
 Inversexm = [xm,1.0./xm]
;= 2
 Dyadicxm = xm*xm'
;= 3
 Singlexm = xm
;
nf(6)
 Preconditioning (Default:0
),= 0
 Singe run,= 1
 Double run, scale with gramian diagonal,= 2
 Scaled run, scale with steady state (input).
nf(7)
 NonSymmetric Cross Gramian, onlyWX, WJ
(Default:0
),= 0
 Regular cross gramian,= 1
 Nonsymmetric cross gramian (cross operatorWZ
) for nonsquare, nonsymmetric or nongradient systems.
nf(8)
 Robust parameters, onlyWC, WY
(Default:0
),= 0
 Plain parameters,= 1
 Treat parameters as additional inputs.
nf(9)
 Parameter action, onlyWI, WJ
(Default:0
),= 0
 Parameter is source,= 1
 Parameter is no source.
nf(10)
 Center parameter scales (Default:0
),= 0
 No centering,= 1
 Center by arithemtic mean,= 2
 Center by logarithmic mean.
nf(11)
 Exclusive options (Default:0
),= 1
 OnlyWS
: use rootmeansquarecentered parameter sensitivity,= 1
 OnlyWI
: use Schurcomplement of parameter identifiability,= 1
 OnlyWJ
: use detailed Schurcomplement of parameter crossidentifiability.
nf(12)
 Gramian Symmetry (Default:0
),= 0
 Assume symmetry,= 1
 Enforce symmetry.
Custom Solver
 Set by function handle in global variable named
ODE
.  Function signature:
y = solver(f,g,t,x,u,p)
f
 Handle to a function with signaturex = f(x,u,p)
, the system's vector field,g
 Handle to a function with signaturex = g(x,u,p)
, the output functional.g = 1
impliesy = x
,t
 Three component vectort = [h,T]
holding time step and time stop,x
 Column vector of dimensionN
holding initial state,u
 Discrete input time series of dimensionJ x (T/h)
,p
 Column vector holding parameters.
 Default solver: Ralston's SecondOrder RungeKutta Method: "RungeKutta methods with minimum error bounds" by A. Ralston (1962).
Extra
 Solver: mysolver.m (Sample custom ODE solver)
 Lanczos SVD: lsvd.m (sparse / truncated SVD)
Example
 Setup:
J = 4; % number of inputs N = J*J % number of states O = J; % number of outputs h = 0.01; % time step T = 1; % end time A = rand(N,N); % random system matrix A = 0.5*(A+A'); % symmetrize system matrix A(1:N+1:end) = N; % ensure stability B = rand(N,J); % random input matrix C = B'; % ensure statespace symmetric system P = zeros(N,1); % parameter vector Q = ones(N,1)*[0.25,0.75]; % parameter range f = @(x,u,p) A*x+B*u+p; % linear parametric dynamic system vector field g = @(x,u,p) C*x; % linear output functional G = @(x,u,p) A'*x+C'*u; % adjoint dynamic system vector field
 Empirical Controllability Gramian:
WC = emgr(f,g,[J,N,O],[h,T],'c',P);
 Empirical Observability Gramian:
WO = emgr(f,g,[J,N,O],[h,T],'o',P);
 Empirical Cross Gramian:
WX = emgr(f,g,[J,N,O],[h,T],'x',P);
 Empirical Linear Cross Gramian:
WY = emgr(f,G,[J,N,O],[h,T],'y',P);
 Empirical Sensitivity Gramian:
WS = emgr(F,g,[J,N,O],[h,T],'s',Q);
 Empirical Identifiability Gramian:
WI = emgr(F,g,[J,N,O],[h,T],'i',Q);
 Empirical Joint Gramian:
WJ = emgr(F,g,[J,N,O],[h,T],'j',Q);
Get the source code here: vernval.m
Demos
State Reduction: Cross Gramian (
 
State Reduction: Linear Cross Gramian (
 
State Reduction: Nonsymmetric Cross Gramian (
 
State Reduction: Balanced Truncation (
 
State Reduction: Balanced Gains (
 
Parametric State Reduction (
 
State Reduction: Hierarchical System (
 
Parameter Reduction: Linear System with Source Term (
 
Parameter Reduction: Linear System with Scaled States (
 
Combined Reduction: Nonlinear System (
 
Benchmark: Inverse Lyapunov Procedure (
 
Benchmark: Linear Model Reduction (
 
Benchmark: Nonlinear Model Reduction (
 
State Reduction: NonSquare and Nonlinear (
 
Nonlinearity Quantification (
 
Decentralized Control (
 
PDE Reduction: Advection Equation (
 
Nonlinear Second Order Reduction: 5body Choreography (
 
Parameter Identification: Stable Orbits Inside Black Holes (

About
A gramian matrix W
is the result of all inner products of a set of vectors V = (v1 ... vn)
, in other words: W = V' V
.
Properties of (linear) control systems can be assessed by the system gramian matrices, which are based on the controllability and observability operators.
Classically, the controllability gramian and observability gramian are utilized in balancing method.
The cross gramian combines controllability and observability information into a single matrix and thus does not require balancing.
Empirical gramians extend this approach to nonlinear control systems and thus enable nonlinear model reduction.
For linear systems the empirical gramians are equal to the classic gramians.
Yet empirical gramians contain more information about the underlying system; and the empirical cross gramian conveys even additional information.
This makes empirical gramians a versatile tool for mathematical engineering.
The Discrete Empirical Cross Gramian encloses information on the inputoutput behavior of the associated control system as well as approximate Hankel Singular Values and can be computed very efficiently. For extremescale systems, the Linear Cross Gramian, related to Balanced POD, can be utilized. And for parametrized systems, the Joint Gramian, derived from the cross gramian, is available for combined reduction. In case of custom input, an empirical covariance matrix can also be computed.
References
 C. Himpe, M. Ohlberger; "A Note on the Cross Gramian for NonSymmetric Systems"; Submitted, 2015; preprint, source, runmycode
 OneSentence Abstract: A cross gramian matrix for nonsymmetric, nongradient and nonsquare system.
 C. Himpe, M. Ohlberger; "Accelerating the Computation of Empirical Gramians and Related Methods"; 5th IWMRRF, 2015; selfarchived, source
 OneSentence Abstract: Numerical performance enhancements for empirical gramians.
 C. Himpe, M. Ohlberger; "The Empirical Cross Gramian for Parametrized Nonlinear Systems"; Mathematical Modelling , 8(1): 727728, 2015; source, runmycode
 OneSentence Abstract: Use of the empirical cross gramian for parametric model order reduction by averaging.
 C. Himpe, M. Ohlberger; "CrossGramianBased Combined State and Parameter Reduction for LargeScale Control Systems"; Mathematical Problems in Engineering 2014: 113, 2014; openaccess, source, runmycode
 OneSentence Abstract: Introduction of the empirical cross gramian and the derived joint gramian as well as gramianbased combined reduction.
 C. Himpe, M. Ohlberger; "Model Reduction for Complex Hyperbolic Networks"; Proceedings of the European Control Conference: 27392743, 2014; preprint, source, runmycode
 OneSentence Abstract: Cross gramian based model reduction of a timevarying nonsymmetric system with application in network cosmology.
 C. Himpe, M. Ohlberger; "A Unified Software Framework for Empirical Gramians"; Journal of Mathematics 2013: 16, 2013; openaccess, source, runmycode
 OneSentence Abstract: Implementation and mathematical background on empirical gramians under a common interface.
 Further References for empirical gramians are in the empirical gramian reference list.
Contact
Send feedback to: ch@gramian.de
Cite
 Cite as: C. Himpe (2016). emgr  Empirical Gramian Framework (Version 3.9) [Software]. http://gramian.de
 BibTeX:
@MISC{emgr,author={C. Himpe},title={{emgr}  Empirical Gramian Framework (Version 3.9)},howpublished={\url{http://gramian.de}},year={2016}}
 DOI: 10.5281/zenodo.46523 (Version 3.9)
 Except where otherwise noted, content on this site is licensed under a CC BY 4.0 license.
 Last Change: 20160227
Links
 emgr_ref.pdf (emgr Reference Card)
 emgr_poster_2015a.pdf (emgr Poster I)
 emgr_poster_2015b.pdf (emgr Poster II)
 github.com/gramian/emgr (emgr git repository at github)
 orms.mfo.de/project?id=345 (emgr at Oberwolfach References on Mathematical Software)
 swmath.org/software/7554 (emgr at swMATH)
 sciencepad.web.cern.ch/node/143 (emgr at CERN SciencePAD)
 freshcode.club/projects/emgr (emgr at freshcode)
 sciencetoolbox.org/tools/1784 (emgr at sciencetoolbox)
 modelreduction.org (Model Order Reduction Wiki)
 morepas.org (Model Reduction for Parametrized Systems)
 en.wikibooks.org/wiki/Control_Systems (Control Systems Wikibook)
 git.io/mtips (Octave / Matlab Snippets)
Notes
 emgr has a special version emgr_oct.m using octave's advanced syntax.
 emgr is not explicitly parallelized but multicore ready by extensive vectorization and implicit parallelization.
 emgr has highlighted loops that qualify for explicit parallelization using
parfor
.  emgr can use GPGPU based heterogeneous computing by automatic offloading through the BLAS backend including hUMA.
 emgr consists of a single file and has only about 500 lines of code!
Troubleshooting
 Issue: An empirical gramian contains very large or infinity values.
 Fix: Most likely, one of the sampled trajectory is not stable, make sure the perturbations (scales) or parameters destabilize the system and a suitable ODE solver is used.
 Issue: The identifiability gramian
WI{2}
or crossidentifiability gramianWJ{2}
are zero. Fix: The steady state (initial state) needs to introduce energy into the system; usually this means
xs
≠ 0 or settingnf(9) = 1
.
 Fix: The steady state (initial state) needs to introduce energy into the system; usually this means
 Issue: The ROMs derived from the empirical (nonsymmetric) cross gramian produce large errors.
 Fix: Enforcing symmetry using
nf(12) = 1
can improve the results of the nonsymmetric cross gramian.
 Fix: Enforcing symmetry using
See Also
 Model Reduction Routines (Another Empirical Gramian Software; WC and WO only)
 gram (Octave Control Package; linear WC and linear WO only)