Model reduction using the Vorobyev moment problem

Abstract

Given a nonsingular complex matrix $A\in{\mathbb C}^{N\times N}$ and complex vectors v and w of length N, one may wish to estimate the quadratic form w ^* A ^− 1 v, where w ^* denotes the conjugate transpose of w. This problem appears in many applications, and Gene Golub was the key figure in its investigations for decades. He focused mainly on the case A Hermitian positive definite (HPD) and emphasized the relationship of the algebraically formulated problems with classical topics in analysis - moments, orthogonal polynomials and quadrature. The essence of his view can be found in his contribution Matrix Computations and the Theory of Moments, given at the International Congress of Mathematicians in Zürich in 1994. As in many other areas, Gene Golub has inspired a long list of coauthors for work on the problem, and our contribution can also be seen as a consequence of his lasting inspiration. In this paper we will consider a general mathematical concept of matching moments model reduction, which as well as its use in many other applications, is the basis for the development of various approaches for estimation of the quadratic form above. The idea of model reduction via matching moments is well known and widely used in approximation of dynamical systems, but it goes back to Stieltjes, with some preceding work done by Chebyshev and Heine. The algebraic moment matching problem can for A HPD be formulated as a variant of the Stieltjes moment problem, and can be solved using Gauss-Christoffel quadrature. Using the operator moment problem suggested by Vorobyev, we will generalize model reduction based on matching moments to the non-Hermitian case in a straightforward way. Unlike in the model reduction literature, the presented proofs follow directly from the construction of the Vorobyev moment problem.