• search hit 9 of 19
Back to Result List

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.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Carsten Hartmann
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
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.