Balanced Approximation of Stochastic Systems

DOI10.1137/0611003zbMath0698.93084OpenAlexW1977109386MaRDI QIDQ3476736

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Publication date: 1990

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0611003

zbMATH Keywords

singular value decompositionmutual informationpredictive efficiencyprincipal componentscanonical correlationssystem approximationmodel reduction algorithmBalanced model reductionprincipal Hankel components algorithmstochastic realization methods

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) System identification (93B30) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (9)

Acausal models and balanced realizations of stationary processes ⋮ On the stability of projections of balanced realizations ⋮ Detectability conditions for output-only subspace identification ⋮ Linear parameter-varying subspace identification: a unified framework ⋮ A stochastic realization algorithm via block LQ decomposition in Hilbert space ⋮ Balanced model order reduction for linear random dynamical systems driven by Lévy noise ⋮ System identification methods for (operational) modal analysis: review and comparison ⋮ Subspace algorithms for the stochastic identification problem ⋮ 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems

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