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An ℋ₂-type error bound for balancing-related model order reduction of linear systems with Lévy noise / Martin Redmann, Peter Benner
VerfasserRedmann, Martin ; Benner, Peter
KörperschaftMax-Planck-Institut für Dynamik Komplexer Technischer Systeme
ErschienenMagdeburg : Max Planck Institute for Dynamics of Complex Technical Systems, December 17, 2015
Umfang1 Online-Ressource (9 Seiten = 0,37 MB)
SpracheEnglisch
SerieMax Planck Institute Magdeburg Preprints ; 15-20
URNurn:nbn:de:gbv:3:2-64863 
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An ℋ₂-type error bound for balancing-related model order reduction of linear systems with Lévy noise [0.37 mb]
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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.