An : ℋ₂-type error bound for balancing-related model order reduction of linear systems with Lévy noise / Martin Redmann, Peter Benner
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870927205
URN
urn:nbn:de:gbv:3:2-64863
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Autorin / Autor
Beiträger
Erschienen
Magdeburg : Max Planck Institute for Dynamics of Complex Technical Systems, December 17, 2015
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1 Online-Ressource (9 Seiten = 0,37 MB)
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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, model order reduction is frequently used. Balanced truncation (BT) is a well-known technique from deterministic control theory and it was already extended for controlled linear systems with Levy noise. Recently, a new ansatz was investigated which provides an alternative way to generalize BT for stochastic systems. There, the question of the existence of an ℋ₂-error bound was asked which we answer in this paper.
Schriftenreihe
Max Planck Institute Magdeburg Preprints ; 15-20 ppn:870173030