Singular perturbation approximation for linear systems with Lévy noise / Martin Redmann, Peter Benner
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870928635
URN
urn:nbn:de:gbv:3:2-64882
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Autorin / Autor
Beiträger
Erschienen
Magdeburg : Max Planck Institute for Dynamics of Complex Technical Systems, December 17, 2015
Umfang
1 Online-Ressource (15 Seiten = 0,47 MB) : Diagramme
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Sprache
eng
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Inhaltliche Zusammenfassung
Abstract: To solve a stochastic linear evolution equation numerically, finite dimensional approximations are commonly used. For a good approximation, one might end up with a sequence of ordinary stochastic linear equations of high order. To reduce the high dimension for practical computations, we consider the singular perturbation approximation as a model order reduction technique in this paper. This approach is well-known from deterministic control theory and here we generalize it for controlled linear systems with Levy noise. Additionally, we discuss properties of the reduced order model, provide an error bound, and give some examples to demonstrate the quality of this model order reduction technique.
Schriftenreihe
Max Planck Institute Magdeburg Preprints ; 15-22 ppn:870173030