A Hankel matrix approach to stochastic model reduction

DOI10.1109/TAC.1985.1103856zbMath0577.93054OpenAlexW2036900244MaRDI QIDQ3699571

Barton J. Bacon, Arthur E. Frazho

Publication date: 1985

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1985.1103856

zbMATH Keywords

Hankel matrixstationary Gaussian processstochastic realizationreduced-order state variable model

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Hermitian, skew-Hermitian, and related matrices (15B57) Stochastic systems in control theory (general) (93E03) Realizations from input-output data (93B15)

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