Balanced model reduction of partially-observed Langevin processes: an averaging principle
Please always quote using this URN:urn:nbn:de:0296-matheon-7078
- We study balanced model reduction of partially-observed linear stochastic differential equa- tions of Langevin type. Balancing the equations of motion gives rise to a singularly perturbed system of equations with slow and fast degrees of freedom, and we prove that in the limit of the fast variables becoming infinitely fast, the solutions converge to the solution of a reduced-order Langevin equation. We illustrate the method with several numerical examples and discuss the relation to model reduction of deterministic control systems that have an underlying Hamiltonian structure.
Author: | Carsten Hartmann |
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URN: | urn:nbn:de:0296-matheon-7078 |
Referee: | Volker Mehrmann |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2010/03/09 |
Release Date: | 2010/03/09 |
Institute: | Freie Universität Berlin |
Preprint Number: | 714 |