Balanced model order reduction for linear random dynamical systems driven by Lévy noise

DOI10.3934/jcd.2018002zbMath1407.93081OpenAlexW2895559316MaRDI QIDQ1728240

Martin Redmann, Melina A. Freitag

Publication date: 22 February 2019

Published in: Journal of Computational Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jcd.2018002

zbMATH Keywords

Lévy processesstochastic systemsLyapunov equationsbalanced truncationmodel order reductionGramianssingular perturbation approximation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time-scale analysis and singular perturbations in control/observation systems (93C70) Observability (93B07) System structure simplification (93B11) Stochastic systems in control theory (general) (93E03) Numerical solutions to stochastic differential and integral equations (65C30) Attainable sets, reachability (93B03) Large-scale systems (93A15)

Related Items (5)

Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces ⋮ Model reduction of linear dynamical systems via balancing for Bayesian inference ⋮ Time-limited balanced truncation for data assimilation problems ⋮ Optimization based model order reduction for stochastic systems ⋮ Numerical computation and new output bounds for time-limited balanced truncation of discrete-time systems

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